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Applied Multivariate Statistical Analysis (4th Edition)

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Springer

Pages: 580
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Paperback - 9783662451700

05 March 2015

$89.99

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Ebook - 9783662451717

26 February 2015

$69.99

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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. All chapters include...

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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. All chapters include practical exercises that highlight applications in different multivariate data analysis fields. All of the 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.

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Revised and updated fourth edition offers a broader range of material

Offers a wide scope of methods and applications, making this a comprehensive treatment of the subject

Includes a wealth of examples and exercises-ideal for students in economics and finance

Quantlets in R and Matlab available online

I Descriptive Techniques: Comparison of Batches.- II Multivariate Random Variables: A Short Excursion into Matrix Algebra
Moving to Higher Dimensions
Multivariate Distributions
Theory of the Multinormal
Theory of Estimation
Hypothesis Testing
III Multivariate Techniques: Regression Models
Variable Selection
Decomposition of Data Matrices by Factors
Principal Components Analysis
Factor Analysis
Cluster Analysis
Discriminant Analysis
Correspondence Analysis
Canonical Correlation Analysis
Multidimensional Scaling
Conjoint Measurement Analysis
Applications in Finance
Computationally Intensive Techniques
IV Appendix: Symbols and Notations
Data.

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Wolfgang Karl Härdle is a Ladislaus von Bortkiewicz Professor of Statistics at the Humboldt-Universität zu Berlin and director of C.A.S.E. (Center for Applied Statistics and Economics), director of the CRC-649 (Collaborative Research Center) “Economic Risk” and director of the IRTG 1792 “High Dimensional Non-stationary Time Series”. He teaches quantitative finance and semi-parametric statistics.  His research focuses on dynamic factor models, multivariate statistics in finance and computational statistics. He is an elected member of the ISI (International Statistical Institute) and advisor to the Guanghua School of Management, Peking University.

Léopold Simar is an Emeritus Professor of Statistics...

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Wolfgang Karl Härdle is a Ladislaus von Bortkiewicz Professor of Statistics at the Humboldt-Universität zu Berlin and director of C.A.S.E. (Center for Applied Statistics and Economics), director of the CRC-649 (Collaborative Research Center) “Economic Risk” and director of the IRTG 1792 “High Dimensional Non-stationary Time Series”. He teaches quantitative finance and semi-parametric statistics.  His research focuses on dynamic factor models, multivariate statistics in finance and computational statistics. He is an elected member of the ISI (International Statistical Institute) and advisor to the Guanghua School of Management, Peking University.

Léopold Simar is an Emeritus Professor of Statistics at Université de Louvain, Louvain-la-Neuve, Belgium. He has been teaching mathematical statistics, multivariate analysis, bootstrap methods in statistics and econometrics in several Universities in Europe. 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. He is a regular Visiting Professor at the University of Roma, La Sapienza, Roma, Italy and at the Toulouse School of Economics, Toulouse, France.

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