Theory of multivariate statistics
The objective of this book is to present the main results of the modern theory of multivariate statistics to an audience of advanced students who would appreciate a concise and mathematically rigorous treatment of that material. It is intended for use as a textbook by students taking a first graduate course in the subject, as well as for a general reference of interested research workers who will find, in a readable form, developments from recently published work on certain broad topics not otherwise easily accessible, as, for instance, robust inference (using adjusted likelihood ratio tests (LRT)) and the use of the bootstrap in a multivariate setting. The references contains over 150 entries post - 1982. The main development of the text is supplemented by over 135 problems, most of which are original from the authors. As a textbook, the first eight chapters should provide a more than adequate amount of material for coverage in one semester. These eight chapters, proceeding from a thorough discussion of the normal distribution and multivariate sampling in general, deal with random matrices, Wishart distributions, and Hotelling's \(T^2,\) to culminate in the standard theory of estimation and testing of means and variances. The remaining six chapters treat more specialized topics than it might perhaps be wise to attempt in a simple introduction, but would easily be accessible to those already versed in the basics. Detailed chapters on multivariate regression, principal components, and canonical correlations are included, each of which should be of interest to anyone pursuing further study. The last three chapters, dealing, in turn, with asymptotic expansions, robustness and bootstrap, discuss concepts that are of current interest for active research and take the reader (gently) into territory not altogether perfectly charted. This should serve to draw one (gracefully) into the literature. The treatment is in most ways thoroughly orthodox, but in several ways novel and unique. The readers will find the approach refreshing, and perhaps even a bit liberating, particularly those saturated in a lifetime of matrix derivatives and Jacobians. From the Contents: 1. Linear algebra. Vectors and matrices; Image space and kernels; Nonsingular matrices and determinants; Eigenvalues and eigenvectors; Orthogonal projections; Matrix decompositions. 2. Random vectors. Distribution functions; Equals-in-distribution; Discrete distributions; Expected values; Mean and variance; Characteristic functions; Absolutely continuous distributions; Uniform distributions; Joint and marginals; Independence; Change of variables; Jacobians. 3. Gamma, Dirichlet, and \(F\) distributions. 4. Invariance. Reflection symmetry; Univariate normal and related distributions; Permutation invariance; Orthogonal invariance. 5. Multivariate normal. Nonsingular, singular, conditional normal distributions; Elementary applications. Sampling the univariate normal; Linear estimation; Simple correlations; Multivariate sampling. 6. Random matrices and multivariate samples. Asymptotic distributions. 7. Wishart distributions. Joint distribution of \(\bar\mathbf x\) and \(\mathbf S\); Box-Cox transformations. 8. Tests on mean and variance. Hotelling-\(T^2\); Simultaneous confidence intervals on means; Linear hypotheses; Nonlinear hypotheses; Multiple correlations; Asymptotic moments; Partial correlations; Tests of sphericity; Tests of equality of variances; Asymptotic distributions of eigenvalues; The one-sample problem; The two-sample problem; The case of multiple eigenvalues. 9. Multivariate regression. Estimation; The general linear hypothesis; Canonical forms; LRT for the canonical problem; Invariant tests; Random design matrices \(\mathbf X\); Predictions; One-way classification. 10. Principal components. Best approximating subspaces; Sample principal components from \(\mathbf S\); Sample principal components from \(\mathbf R\); A test for multivariate normality. 11. Canonical correlations. Tests of independence; Properties of \(\mathbf U\) distributions; Q-Q plots of squared radii; Asymptotic distributions. 12. Asymptotic expansions. General expansions. 13. Robustness. Elliptical distributions; Maximum likelihood estimates (MLE); Normal MLE; Elliptical MLE; Robust estimates; \(\mathbf M\) estimates; \(\mathbf S\) estimates; Robust Hotelling-\(T^2\); Robust tests on scale matrices; Adjusted LRT; Weighted Nagao's test for a given variance; Relative efficiency of adjusted LRT. 14. Bootstrap confidence regions and tests. Confidence regions and tests for the mean; Confidence regions for the variance; Tests on the variance. A. Inversion formulas. B. Multivariate cumulants. Applications to asymptotic distributions. C. S-plus functions. References. Author Index. Subject Index.
- Asymptotic distributions of robust shape matrices and scales
- ANOVA extensions for mixed discrete and continuous data
- Distributional results for means of normalized random measures with independent increments
- A goodness-of-fit test for elliptical distributions with diagnostic capabilities
- Testing proportionality of two large-dimensional covariance matrices
- A simple non-parametric goodness-of-fit test for elliptical copulas
- Convex and radially concave contoured distributions
- One-way multivariate repeated measurements analysis of variance model
- On matricial measures of dependence in vector ARCH models with applications to diagnostic checking
- Robust shrinkage estimation for elliptically symmetric distributions with unknown covariance matrix
- The influence function of the Stahel--Donoho estimator of multivariate location and scatter.
- Theory and numerical analysis for exact distributions of functionals of a Dirichlet process
- The influence function and maximum bias of Tukey's median
- A model of the functional state of participants of laboratory markets
- Parameter estimation in a condition-based maintenance model
- A stationary bootstrap test about two mean vectors comparison with somewhat dense differences and fewer sample size than dimension
- Permutation test for the multivariate coefficient of variation in factorial designs
- Asymptotic and bootstrap tests for subspace dimension
- The effect of discretization on the mean geometry of a 2D random field
- Mixture of multivariate Gaussian processes for classification of irregularly sampled satellite image time-series
- A sample covariance-based approach for spatial binary data
- Holistic inferential approach for restricted parameters in multivariate regression with continuous responses: a Monte Carlo experiment
- On the measure of anchored Gaussian simplices, with applications to multivariate medians
- Mean geometry for 2D random fields: level perimeter and level total curvature integrals
- An inferential approach for validating the compromise of the STATIS method
- Spatial sign correlation
- A new generalized inequality for covariance in \(N\) dimensions
- Semiparametrically efficient rank-based inference for shape. I: optimal rank-based tests for sphericity
- Confidence estimation via the parametric bootstrap in logistic joinpoint regression
- The asymptotic efficiency of the spatial median for elliptically symmetric distributions
- Estimating the number of basins of attraction of multi-objective combinatorial problems
- A semiparametric density estimator based on elliptical distributions
- Asymptotic distribution of stage-grouped population models
- On the Diaconis-Shahshahani method in random matrix theory
- On the extremal dependence coefficient of multivariate distributions
- Transformation invariant stochastic catastrophe theory
- Optimal signed-rank tests based on hyperplanes
- When is the mean self-consistent?
- A general Monte Carlo method for multivariate goodness-of-fit testing applied to elliptical families
- Semiparametric estimation of the high-dimensional elliptical distribution
- Size distortion in the analysis of volatility and covolatility effects
- The Wishart autoregressive process of multivariate stochastic volatility
- Testing for common principal components under heterokurticity
- Hypothesis testing in unbalanced two-fold nested random models
- scientific article; zbMATH DE number 3136275 (Why is no real title available?)
- A panorama of positivity. II: Fixed dimension
- Distribution of the Λ-Criterion for Sphericity Test and Its Connection to a Generalized Dirichlet Model
- Choosing Principal Components: A New Graphical Method Based on Bayesian Model Selection
- scientific article; zbMATH DE number 3942782 (Why is no real title available?)
- Estimating summary statistics in the spike-train space
- Estimation of the covariance matrix in multivariate partially linear models
- scientific article; zbMATH DE number 177885 (Why is no real title available?)
- A characterization of elliptical distributions and some optimality properties of principal components for functional data
- scientific article; zbMATH DE number 727405 (Why is no real title available?)
- scientific article; zbMATH DE number 1964693 (Why is no real title available?)
- Optimal reparametrization and large sample likelihood inference for the location-scale skew-normal model
- On error probabilities calculation for the truncated sequential probability ratio test
- Occupation times of discrete-time fractional Brownian motion
- Tests of mutual or serial independence of random vectors with applications
- scientific article; zbMATH DE number 2171896 (Why is no real title available?)
- ECA: High-Dimensional Elliptical Component Analysis in Non-Gaussian Distributions
- Quasi Most Powerful Invariant Goodness‐of‐fit Tests
- Envelopes for elliptical multivariate linear regression
- Transition choice probabilities in logit
- A new multivariat two-sample test using regular minimum-weight spanning subgraphs
- Robust tests of the equality of two high-dimensional covariance matrices
- A new large sample goodness of fit test for multivariate normality based on chi squared probability plots
- A fractal dimension for measures via persistent homology
- Stratification as a General Variance Reduction Method for Markov Chain Monte Carlo
- An asymptotic F test for uncorrelatedness in the presence of time series dependence
- scientific article; zbMATH DE number 7301725 (Why is no real title available?)
- Distribution of the LR criterion Up,m,n as a marginal distribution of a generalized Dirichlet model
- Does eye tremor provide the hyperacuity phenomenon?
- Statistical Theories for Dimensional Analysis
- Characterizing chaotic melodies in automatic music composition
- scientific article; zbMATH DE number 270243 (Why is no real title available?)
- Multiparametric statistics
- A Novel Regression Approach: Least Squares Ratio
- Testing for changes in Kendall's tau
- Discrete time Wishart term structure models
- Robust estimation of the conditional median function at elliptical models
- The complex multinormal distribution, quadratic forms in complex random vectors and an omnibus goodness-of-fit test for the complex normal distribution
- Parameter estimation for \(n\)th-order mixed fractional Brownian motion with polynomial drift
- Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations
- On UMPS hypothesis testing
- Globalized distributionally robust optimization based on samples
- Application of a delta-method for random operators to testing equality of two covariance operators
- On the unbiasedness of the likelihood ratio test for the multivariate one-sided problem
- Robustly fitting Gaussian graphical models -- the R package robFitConGraph
- A Simple Asymptotically F-Distributed Portmanteau Test for Diagnostic Checking of Time Series Models With Uncorrelated Innovations
- Covariance structure tests for multivariate \(t\)-distribution
- On the robustness of spatial quantiles
- Type-II generalized family-wise error rate formulas with application to sample size determination
- Fourth order random tensors and their applications in statistics
- Principal component analysis from the multivariate familial correlation matrix
- Adaptive posterior distributions for uncertainty analysis of covariance matrices in Bayesian inversion problems for multioutput signals
- Perturbation graphs, invariant causal prediction and causal relations in psychology
- On the robustness of F statistic for high-dimensional general linear models
- Relative entropy methods for the approximation of reactive trajectories and committor functions
- Hypothesis testing under uniform-block covariance structures
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