Multivariate Statistical Analysis

A High-Dimensional Approach

Be the first to write a review

By: V.I. Serdobolskii

Hardcover

Published: 31st October 2000

Ships: 7 to 10 business days

7 to 10 business days

RRP $430.99

$298.25

31%
OFF

or 4 easy payments of $74.56 with

Learn more

BUY NOW

Add to Wishlist

Other Available Formats (Hide)

Paperback View Product Published: 9th December 2010
$212.95

Description
Table of Contents
Product Details

Presents a new branch of mathematical statistics aimed at constructing unimprovable methods of multivariate analysis, multi-parametric estimation, and discriminant and regression analysis. In contrast to the traditional consistent Fisher method of statistics, the essentially multivariate technique is based on the decision function approach by A. Wald. Developing this new method for high dimensions, comparable in magnitude with sample size, provides stable approximately unimprovable procedures in some wide classes, depending on an arbitrary function. A fact is established that, for high-dimensional problems, under some weak restrictions on the variable dependence, the standard quality functions of regularized multivariate procedures prove to be independent of distributions. This opens the possibility to construct unimprovable procedures free from distributions.

Preface	p. ix
Introduction	p. 1
Kolmogorov Asymptotics in Problems of Multivariate Analysis	p. 2
Spectral Theory of Large Covariance Matrices	p. 5
Limit Formulas for Spectral Functions	p. 5
Spectral Functions for Fixed Dimension and Sample Size	p. 11
Method to Single out the Leading Terms	p. 13
Approximately Unimprovable Essentially Multivariate Procedures	p. 14
Spectral Properties of Large Wishart Matrices	p. 25
Wishart Distribution	p. 27
Limit Moments of Wishart Matrices	p. 32
Limit Formula for the Resolvent of Wishart Matrices	p. 38
Resolvents and Spectral Functions of Large Sample Covariance Matrices	p. 40
Spectral Functions of Random Gram Matrices	p. 41
Spectral Functions of Sample Covariance Matrices	p. 47
Limit Spectral Functions of the Increasing Sample Covariance Matrices	p. 52
Resolvents and Spectral Functions of Large Pooled Sample Covariance Matrices	p. 61
Problem Setting	p. 61
Spectral Functions of Pooled Random Gram Matrices	p. 63
Spectral Functions of Pooled Sample Covariance Matrices	p. 68
Limit Spectral Functions of the Increasing Pooled Sample Covariance Matrices	p. 73
Normal Evaluation of Quality Functions	p. 76
Measure of Normalizability	p. 77
Spectral Functions of Large Covariance Matrices	p. 78
Normal Evaluation of Sample Dependent Functionals	p. 79
Discussion	p. 86
Estimation of High-Dimensional Inverse Covariance Matrices	p. 87
Shrinkage Estimators of the Inverse Covariance Matrices	p. 88
Generalized Ridge Estimators of the Inverse Covariance Matrices	p. 89
Asymptotically Unimprovable Estimators of the Inverse Covariance Matrices	p. 98
Epsilon-Dominating Component-Wise Shrinkage Estimators of Normal Mean	p. 102
Estimation Function for the Component-Wise Estimators	p. 102
Estimators of the Unimprovable Estimation Function	p. 104
Improved Estimators of High-Dimensional Expectation Vectors	p. 112
Limit Quadratic Risk for a Class of Estimators of Expectation Vectors	p. 113
Minimization of the Limit Quadratic Risk	p. 119
Statistics to Approximate the Limit Risk Function	p. 124
Statistics to Approximate the Extremal limit Solution	p. 126
Quadratic Risk of Linear Regression with a Large Number of Random Predictors	p. 131
Spectral Functions of Sample Covariance Matrices	p. 133
Functionals Depending on the Statistics S and g0	p. 135
Functionals Depending on Sample Covariance Matrices and Covariance Vectors	p. 144
The Leading Part of the Quadratic Risk and its Estimator	p. 148
Special Cases	p. 153
Linear Discriminant Analysis of Normal Populations with Coinciding Covariance Matrices	p. 156
Problem Setting	p. 157
Expectation and Variance of Generalized Discriminant Functions	p. 159
Limit Probabilities of the Discrimination Errors	p. 166
Population Free Quality of Discrimination	p. 169
Problem Setting	p. 169
Leading Parts of Functionals for Normal Populations	p. 171
Leading Parts of Functionals for Arbitrary Populations	p. 173
Discussion	p. 176
Proofs	p. 177
Theory of Discriminant Analysis of the Increasing Number of Independent Variables	p. 187
Problem Setting	p. 187
A Priori Weighting of Independent Variables	p. 193
Minimization of the Limit Error Probability for a Priori Weighting	p. 201
Weighting of Independent Variables by Estimators	p. 203
Minimization of the Limit Error Probability for Weighting by Estimators	p. 210
Statistics to Estimate Probabilities of Errors	p. 214
Contribution of Variables to Discrimination	p. 217
Selection of a Large Number of Independent Variables	p. 219
Conclusions	p. 227
References	p. 233
Index	p. 239
Table of Contents provided by Syndetics. All Rights Reserved.

ISBN: 9780792366430
ISBN-10: 0792366433
Series: Theory and Decision Library B
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 244
Published: 31st October 2000
Publisher: Springer
Country of Publication: NL
Dimensions (cm): 23.4 x 15.6 x 1.91
Weight (kg): 1.2