Applied Multivariate Statistical Analysis

by Wolfgang Karl Härdle, Leopold Simar

Focusing on high-dimensional applications, this 4th edition presents the tools and concepts used in multivariate data analysis in a style that is also accessible for non-mathematicians and practitioners. It surveys the basic principles and emphasizes both exploratory and inferential statistics; a new chapter on Variable Selection (Lasso, SCAD and Elastic Net) has also been added. All chapters include practical exercises that highlight applications in different multivariate data analysis fields: in quantitative financial studies, where the joint dynamics of assets are observed; in medicine, where recorded observations of subjects in different locations form the basis for reliable diagnoses and medication; and in quantitative marketing, where consumers preferences are collected in order to construct models of consumer behavior. All of these examples involve high to ultra-high dimensions and represent a number of major fields in big data analysis.

The fourth edition of this book on Applied Multivariate Statistical Analysis offers the following new features:

A new chapter on Variable Selection (Lasso, SCAD and Elastic Net)

All exercises are supplemented by R and MATLAB code that can be found on www.quantlet.de.

The practical exercises include solutions that can be found in Hardle, W. and Hlavka, Z., Multivariate Statistics: Exercises and Solutions. Springer Verlag, Heidelberg.

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Genres: Mathematics

580 pages, Paperback

First published September 1, 2003

Reviews

[Andrewcharles420]

This book offered plenty of examples and would be a great practical guide for showing how to perform these calculations.

Explanations and proofs were not always thorough or convincing--it's best to approach this text with an idea of what you're looking for rather than as a source to learn it. To that end, I found the chapters whose contents I was familiar with very informative (while condensed), and those I had had little practice with terse (but instructive). Generally having another book on hand for proofs and deeper discussions helps with the material.