Applied Multivariate Statistical Analysis - Softcover

Härdle, Wolfgang; Simar, Leopold

Softcover

ISBN 10: 3540030794 ISBN 13: 9783540030799

Publisher: Springer, 2003

Synopsis

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 Härdle, W. and Hlavka, Z., Multivariate Statistics: Exercises and Solutions. Springer Verlag, Heidelberg.

About this title

From the Back Cover

Most of the observable phenomena in the empirical sciences are of a multivariate nature.  In financial studies, assets are observed simultaneously and their joint development is analysed to better understand general risk and to track indices.  In medicine recorded observations of subjects in different locations are the basis of reliable diagnoses and medication.  In quantitative marketing consumer preferences are collected in order to construct models of consumer behavior.  The underlying data structure of these and many other quantitative studies of applied sciences is multivariate.  Focusing on applications this book presents the tools and concepts of multivariate data analysis in a way that is understandable for non-mathematicians and practitioners who need to analyze statistical data.  The book surveys the basic principles of multivariate statistical data analysis and emphasizes both exploratory and inferential statistics.  All chapters have exercises that highlight applications in different fields.

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

• A new Chapter on Regression Models has been added
• All numerical examples have been redone, updated and made reproducible in MATLAB or R, see www.quantlet.org for a repository of quantlets.

About the Author

Wolfgang Karl Härdle is Professor of Statistics at the Humboldt-Universität zu Berlin and the Director of CASE – the Centre for Applied Statistics and Economics. He teaches quantitative finance and semi-parametric statistical methods. His research focuses on dynamic factor models, multivariate statistics in finance and computational statistics. He is an elected member of the ISI and an advisor to the Guanghua School of Management, Peking University and to National Central University, Taiwan.

Léopold Simar is Professor of Statistics at Université de Louvain, Louvain-la-Neuve, Belgium. He is teaching mathematical statistics, multivariate analysis, bootstrap methods in statistics and econometrics. His research focuses on non-parametric and semi-parametric methods and bootstrap techniques in statistics and econometrics. He is an elected member of the ISI and the past President of the Belgian Statistical Society.

Edition details

• Publisher: Springer
• Publication date: 2003
• Language: English
• ISBN 10: 3540030794
• ISBN 13: 9783540030799
• Binding: Paperback
• Edition number: 1
• Number of pages: 486