Advanced multivariate statistics with matrices.
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This book deals with applications of matrices for the study of distributions of statistics arising in multivariate statistical analysis. It starts in Chapter 1 with an extensive discussion on the basic matrix theory and linear algebra. Several of the fundamental results of matrix theory useful for the subject of multivariate statistical analysis are either proved in detail or appropriate references for their proofs are provided. A highlight of this chapter is a full discussion on two types of matrix derivatives. A multivariate version of the integration by parts formula is proved in this chapter using the notion of matrix derivatives. Concepts of moments and cumulants for multivariate distributions and properties of matrix normal distributions, Wishart distributions and elliptical matrix distributions are discussed in Chapter 2. Mutivariate formal density expansions of Edgeworth type and asymptotic distributions of eigenvalues and eigenvectors for sample dispersion matrices are studied in Chapter 3. Statistical inference for mutivariate linear models in general, and growth models in particular, is the subject matter in Chapter 4. The book is well-written and, for a serious student or researcher interested in applications of matrices to multivariate statistical analysis, I recommend this book strongly.
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