STAD37 (Winter 2012): Multivariate Analysis
Instructor: Russ Salakhutdinov
Email:
rsalakhu [at] utstat [dot] toronto [dot] edu
Office: IC342
Lecture Times: Mondays 3-6pm (we may have some
make-up lectures on Weds 4-5pm).
Lecture Location: IC320
First Lecture: Monday, Jan 9, 2012 at IC320.
Last Lecture: April 4, 2012
Office hours: Monday, 11-12pm
Office hours: Weds, 11-12pm (by appointment)
Marking Scheme:
4 assigments: 40%
2-hour midterm 20%
3-hour final exam 40%
Book :
Applied Multivariate Statistical Analysis by Richard Johnson and
Dean Wichern, Sixth Edition
You can get the datasets used as examples in the text,
plus some proofs omitted from the book, from
this web page. Click on "Take a closer look".
Auditing
If you are not registered in the class, it is possible for you to
audit it (sit in on the lectures), but only if you get the
instructor's permission.
Course Description
This course covers some of the theory and methodology
of multivariate statistical analysis. The topics to be covered
include:
-
Linear algebra for statistics
- Multivariate distributions
-
Multivariate Normal and some associated distribution theory
- Inferences about a mean vector
- Multivariate regression analysis
- Principal components and Factor analysis
- Canonical correlation
analysis
- Discriminant Analysis
- Cluster analysis.
Prerequisite: STAC67H Regression Analysis
Tentative Schedule
Week 1:
Organization of Data (ch 1), Matrix Algebra (ch 2)
Week 2:
Random Vectors (ch 2), Random Sampling (ch 3)
Week 3:
Multivariate Normal Distribution (ch 4)
Week 4:
Inference about a mean vector (ch 5)
Week 5:
Comparisons of several multivariate means (ch 6)
Week 6:
Catching up and Review for the Midterm
Week 7:
Midterm, Principal Components (ch 8)
Week 8:
Principal Components and Factor Analysis (ch 9)
Week 9:
Canonical Correlation Analysis (ch 10)
Week 10:
Discrimination and Classification (ch 11)
Week 11:
Cluster Analysis (ch 12)
Week 12:
Wrap up, Summary, and review.
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