**office:** MEC room 8-63

**tel:** 212-998-0446

**fax:** 212-995-4003

**e-mail:** jowen@stern.nyu.edu

**office hours:** to be announced

**class meetings:** Tuesday 6:00 to
8:50

**text:** Multivariate Statistical Inference
and Applications by A. C. Rencher, John Wiley Publishers, 1998

**prerequisite: **B90.3302 (calculus-level
regression course using matrix analysis)

**grading policy: **to be announced

**SYLLABUS**

__I. Random Vectors and Matrices__

Geometric Considerations

Mahalanobis Distance

Ellipsoids

Eigenvalues

__II. Multivariate Normal Distribution__

Properties

Maximum Likelihood Estimation

Distribution of y-bar and S

Wishart Distribution

Elliptically Contoured Distributions

__III. Hotelling's T-sq. Tests__

Tests of the Mean

Confidence Intervals

Bonferroni Intervals

__IV. Discriminant Analysis__

Two Groups

Several Groups

__V. Classification into Groups__

Two Groups

Several Groups

Estimation of Error Rates

Logistic Classification

__VI. Principal Components__

Properties

As Rotation of Axes

Scree Graphs

Variable Reduction Method

Information in the Small and Large Components

Relationship with Regression

__VII. Factor Analysis__

Factor Model

Estimation of Loadings and Communalities

Principal Factor Method

Maximum Likelihood Method

Rotations

Variable Reduction Method

Applicability of Factor Model

__VIII. Canonical Correlation__

Canonical Correlations and Variates

Properties

Tests of Independence

Tests of Underlying Dimensionality