Applied Multivariate Statistics

Start of lectures: Monday, February 21, 2011.

Exercises: Details for the exercises can be found  here.

Overview

Multivariate Statistics studies the joint distribution of two or more random variables.

Many procedures rely on the multivariate normal distribution. As in univariate statistics, differences between two or more groups of observations are examined (discriminant analysis), and effects of explanatory variables on several target variables are modeled (regression). In addition, there are methods for reducing dimension (principal component analysis, ordination) and formation of groups (cluster analysis).

The course gives an overview of problems and methods. A selection will be treated more in depth.

Content and time schedule

The content and the time schedule can be found here.

Exercises

Details for the exercises can be found here.

Lecture notes

The whole script is available here.

Information about R

• R Homepage
• A short R introduction for the lecture (pdf)
• R-Tutorial for Windows (pdf)

Literature

• W. Stahel, "Statistische Datenanalyse: Eine Einführung für Naturwissenschaftler" (4. Auflage), Vieweg, 2002.
• Fahrmeir et. al, "Multivariate statistische Verfahren", de Gruyter, 1996
• H. Timm, "Applied Multivariate Analysis", Springer, 2002
• B. Everitt, "An R and S-Plus Companion to Multivariate Analysis", Springer, 2005. The whole book is available online via nebis.