Applied Multivariate Statistics

Spring semester 2020

General information

Lecturer Fabio Sigrist
Assistant Domagoj Ćevid
Lectures Cancelled
Exercises Cancelled
Course catalogue data >>

Important announcement

All the contents have been moved to the course Moodle and the new material will be added regularly there.

Course content

Multivariate statistics analyzes data on several random variables simultaneously. This course introduces the basic concepts and provides an overview of classical and modern methods of multivariate statistics including visualization, dimension reduction, supervised and unsupervised learning for multivariate data. An emphasis is on applications and solving problems with the statistical software R.


  • "An Introduction to Applied Multivariate Analysis with R" (2011) by Everitt and Hothorn
  • "An Introduction to Statistical Learning: With Applications in R" (2013) by Gareth, Witten, Hastie and Tibshirani
  • "Introductory Statistics with R" (2008) by Dalgaard

Additional information

Examples in the lecture and hints as well as solutions to the exercises will be based on the statistical software R. This is a freely available open source program that works on all platforms and has become worldwide standard for data analysis. It can be downloaded from CRAN. A R Tutorial can be found here.


There will be a 120-minute written exam during the regular ETH exam sessions. The exam is a "closed book" exam, a simple pocket calculator with no communication capability is permitted. The exam covers all topics which were discussed and/or applied during either the lectures or the exercises. Upon passing the exam, the course will be awarded 5 ECTS credit points.

PhD students who would like to obtain credit points but do not need to take the exam and obtain a grade need to sign up with the lecturer at the beginning of the semester and hand in 5 well-solved exercises.


  • March 13th, 2020:
    The lectures and exercise classes have been suspended. The course will continue online. All the contents have been moved to the course Moodle and the new material will be added regularly there. There is also a forum where you can ask any questions regarding either the course content or the course organization.
  • February 15th, 2020:
    Beginning of lecture: Monday, 17.02.2020 (Exercises start on 02.03.2020).

Course materials

The schedule is subject to minor modifications. The slides will be uploaded before each lecture.

Week Date Topic
Week 1 17.02.2020 Introduction & visualization
Week 2 24.02.2020 Visualization & outliers
Week 3 02.03.2020 Principal component analysis 1
Week 4 09.03.2020 Principal component analysis 2
Week 5 16.03.2020 Multidimensional scaling
Week 6 23.03.2020 Multidimensional scaling cont. / cluster analysis
Week 7 30.03.2020 Cluster analysis cont.
Week 8 06.04.2020 Factor Analysis
Week 9 27.04.2029 Classification 1: discriminant analysis & logistic regression
Week 10 04.05.2020 Extending univariate methods
Week 11 11.05.2020 Classification 2: trees & random forest
Week 12 18.05.2020 Models for repeated measures data


  • Everitt and Hothorn (2011), An Introduction to Applied Multivariate Analysis with R, Springer
  • James, Witten, Hastie, and Tibshirani (2013), An Introduction to Statistical Learning, Springer
  • P. Dalgaard (2008), Introductory Statistics with R, Springer

Exercise classes

Exercise classes are held approx. every second week starting from 02/03/2020 in HG D 1.1. Please install R and RStudio and bring your laptop to the exercise classes, if possible.

Series and solutions

There is no testat requirement for students who take the exam. PhD students who do not take the exam but would like to obtain a testat should send their solutions to the assistants by email no later than one week after the discussion in the exercise class.

Exercises Solutions Date of exercise class R code
Series 1 Solutions 1 02.03.2020
Series 2 Solutions 2 16.03.2020
Series 3 Solutions 3 30.03.2020
Series 4 Solutions 4 20.04.2020
Series 5 Solutions 5 04.05.2020
Series 6 Solutions 6 18.05.2020