Multivariate Statistics (MATH 620156)
Spring 2023
Lecture Time:
Tue, 18:30-21:05
TA:
Qiming Yuan, 21210980088 AT m.fudan.edu.cn
Grading:
- Final Exam: 60%
- Homework: 40%
Homework:
- Homework1 [pdf], deadline: April 9, 2023
- Homework2 [pdf], deadline: May 11, 2023
- Homework3 [pdf], deadline: June 8, 2023
Reading Materials:
- Theodore W. Anderson. "An Introduction to Multivariate Statistical Analysis". John Wiley & Sons Inc; 3rd Edition. [link]
- 张尧庭/方开泰. "多元统计分析引论". 科学出版社, 2015. [link]
Courseware (subject to changes):
- In-class Note (Being updated regularly) [Note]
- Feb 21: The Review of Linear Algebra. [Lecture01]
Feb 28: The Multivariate Normal Distributions. [Lecture02]
Mar 07: The Multivariate Normal Distributions. [Lecture03]
Mar 14: The Multivariate Normal Distributions. [Lecture04]
Mar 21&28: Estimation of the Mean Vector and the Covariance Matrix. [Lecture05]
Mar 28& April 4&11&18: Estimation of the Mean Vector and the Covariance Matrix. [Lecture06]
April 23: Estimation of the Mean Vector and the Covariance Matrix. [Lecture07]
April 25: Estimation of the Mean Vector and the Covariance Matrix. [Lecture08]
May 9: Sample Correlation Coefficients. [Lecture09]
May 16&23: Distribution of Sample Covariance Matrix. [Lecture10]
May 30: Multivariate Linear Regression. [Lecture11]
June 06: Principal Components and Canonical Correlations. [Lecture12]
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