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Härdle , Wolfgang Karl , 1953-....

Simar , Léopold

Applied Multivariate Statistical Analysis , by Wolfgang Karl Härdle, Léopold Simar.

Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer , 2015

978-3-662-45171-7

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Focusing on high-dimensional applications, this 4th edition presents the tools and concepts used in multivariate data analysis in a style that is also accessible for non-mathematicians and practitioners. It surveys the basic principles and emphasizes both exploratory and inferential statistics; a new chapter on Variable Selection (Lasso, SCAD and Elastic Net) has also been added. All chapters include practical exercises that highlight applications in different multivariate data analysis fields: in quantitative financial studies, where the joint dynamics of assets are observed; in medicine, where recorded observations of subjects in different locations form the basis for reliable diagnoses and medication; and in quantitative marketing, where consumers’ preferences are collected in order to construct models of consumer behavior. All of these examples involve high to ultra-high dimensions and represent a number of major fields in big data analysis. The fourth edition of this book on Applied Multivariate Statistical Analysis offers the following new features: A new chapter on Variable Selection (Lasso, SCAD and Elastic Net) All exercises are supplemented by R and MATLAB code that can be found on www.quantlet.de The practical exercises include solutions that can be found in Härdle, W. and Hlavka, Z., Multivariate Statistics: Exercises and Solutions. Springer Verlag, Heidelberg

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I Descriptive Techniques: Comparison of Batches.- II Multivariate Random Variables: A Short Excursion into Matrix Algebra ; Moving to Higher Dimensions ; Multivariate Distributions ; Theory of the Multinormal ; Theory of Estimation ; Hypothesis Testing ; III Multivariate Techniques: Regression Models ; Variable Selection ; Decomposition of Data Matrices by Factors ; Principal Components Analysis ; Factor Analysis ; Cluster Analysis ; Discriminant Analysis ; Correspondence Analysis ; Canonical Correlation Analysis ; Multidimensional Scaling ; Conjoint Measurement Analysis ; Applications in Finance ; Computationally Intensive Techniques ; IV Appendix: Symbols and Notations ; Data

Economics -- Statistics

Mathematical statistics.

Economics, Mathematical

Economic theory

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