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".

    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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    STAD37 (Winter 2012): Multivariate Analysis ||