Applied Multivariate Statistical Analysis

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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.  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.deThe practical exercises include solutions that can be found in Härdle, W. and Hlavka, Z., Multivariate Statistics: Exercises and Solutions. Springer Verlag, Heidelberg.