Applied Multivariate Statistical Analysis
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. I
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Wolfgang Karl Härdle r Léopold Simar
Applied Multivariate Statistical Analysis Third Edition
Wolfgang Karl Härdle L.v.Bortkiewicz Chair of Statistics C.A.S.E. Centre f. Appl. Stat. & Econ. School of Business and Economics Humboldt-Universität zu Berlin Berlin, Germany
Léopold Simar Inst. Statistics Center of Operations Research & Econometrics (CORE) Katholieke Universiteit Leuven Leuven, Belgium
The majority of chapters have quantlet codes in Matlab or R. These quantlets may be downloaded from http://extras.springer.com or via a link on http://springer.com/978-3-642-17228-1 and from www.quantlet.de
ISBN 978-3-642-17228-1 e-ISBN 978-3-642-17229-8 DOI 10.1007/978-3-642-17229-8 Springer Heidelberg Dordrecht London New York Library of Congress Control Number: 2011944029 Mathematics Subject Classification (2000): 62H10, 62H12, 62H15, 62H17, 62H20, 62H25, 62H30, 62F25 © Springer-Verlag Berlin Heidelberg 2003, 2007, 2012 This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer. Violations are liable to prosecution under the German Copyright Law. The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)
Preface to the 3rd Edition
The third edition of this book on Applied Multivariate Statistical Analysis offers the following new features. 1. A new Chapter 8 on Regression Models has been added. 2. Almost all numerical examples have been reproduced in MATLAB or R. The chapter on regression models focuses on a core business of multivariate statistical analysis. This contribution has not been subject of a prominent discussion in earlier editions of this book. We now take the opportunity to cover classical themes of ANOVA and ANCOVA analysis. Categorial responses are presented Section 8.2. The spectrum of log linear models for contingency tables is presented in Section 8.2.2 and applications to count data e.g. in the economic and medical science is presented there. Logit models are discussed in great detail and the numerical implementation in terms of matrix manipulations are presented. The majority of pictures and numerical examples has been now calculated in the (almost) standard language R & MATLAB. The code for each picture is indicated with a small sign near the picture, e.g. MVAdenbank denotes the corresponding quantlet for reproduction of Figure 1.9, where we d
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