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Department of Statistical and Actuarial Sciences
Center of Actuarial Excellence (CAE)
Graduate

Multivariate Analysis

Statistical Science 9848A


Description: We will cover the following topics after reviewing some basic definitions and results in linear algebra: multivariate distributions including the multivariate normal distribution and its properties; linear transformations; characteristic functions; estimation of mean vectors and covariance matrices; likelihood ratio tests; principal components; quadratic forms and their properties; the Wishart distribution; Hotelling’s T2 distribution; multivariate analysis of variance; regression: multiple correlation.. Other topics may be added as time permits.

Term: A

Outlines of this course offered in past school years
Course Instructor(s) Outline Term School Year
SS9848B001 Serge Provost PDF B 2017/2018