STAT 832: Multivariate Statistical Analysis



Course information

  • Instructor: Peter Hoff
  • TA: Xu Chen
  • Lecture: MW 10:05-11:20, Perkins LINK 088
  • Office hours: Tue, Thu 10:30-11:30 AM Rm 219 (PH), Sun 5:00-6:00 PM, Fri 10:00-11:00 AM Rm 211A (XC)

Course materials


Announcements

2018-4-10: Do the final set of exercises: Exercises 3 and 5 from the MLM notes, and exercises 1 and 2 of the copula notes, due 4/18.

2018-4-02: MLM slides

2018-3-28: Do exercises 1,3,4 and 6 in the notes on the GLM, to be turned in Friday 4/6. Also work on your projects.

2018-03-21: Do the ninth set of exercises, to be turned in Wednesday 3/28.

2018-02-26: Do the eighth set of exercises, to be turned in Wednesday 3/21.

2018-02-26: Do the seventh set of exercises, to be turned in Monday 3/5.

2018-02-19: Do the sixth set of exercises, to be turned in Monday 2/26.

2018-02-12: Do the fifth set of exercises, to be turned in Monday 2/19. Also, note that information on the data and paper projects has been added.

2018-02-05: Do the fourth set of exercises, to be turned in Monday 2/12. Also start looking for datasets you might want to use for the course project.

2018-01-29: Do the third set of exercises, to be turned in Monday 2/5.

2018-01-22: Do exercises 6 through 11 in the course notes on eigendcompositions, to be turned in Monday 2018-01-29. Make sure you are getting the exercises from notes dated 1/22 or later.

2018-01-10: Do exercises 1 through 5 in the course notes on eigendcompositions, to be turned in Wednesday 2018-01-17.


Tentative schedule of topics

  1. Unsupervised analysis
    1. Matrix decompositions and PCA
    2. Covariance estimation
    3. Factor analysis
    4. ICA
    5. Kernel methods and clustering
  2. Supervised analysis
    1. General linear model
    2. Discriminant analysis
    3. Kernel methods and classification
  3. Special topics
    1. Copulas
    2. Tensors
    3. $p\approx n$ asymptotics

Evaluation

  • 60% Homework
  • 20% Data project
  • 20% Paper project
  • 10% per-late day penalty (including weekends)