Applied Multivariate Statistical Analysis
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 emphasize
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lied Multivariate Statistical Analysis Fourth Edition
Applied Multivariate Statistical Analysis
Wolfgang Karl HRardle • Léopold Simar
Applied Multivariate Statistical Analysis Fourth Edition
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Wolfgang Karl HRardle C.A.S.E. Centre f. Appl. Stat. & Econ. School of Business and Economics Humboldt-UniversitRat zu Berlin Berlin, Germany
Léopold Simar Center of Operations Research & Econometrics (CORE) Katholieke Univeristeit Leuven Inst. Statistics 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/978-3-66245170-0 and from www.quantlet.de ISBN 978-3-662-45170-0 DOI 10.1007/978-3-662-45171-7
ISBN 978-3-662-45171-7 (eBook)
Library of Congress Control Number: 2015933294 Mathematics Subject Classification (2000): 62H10, 62H12, 62H15, 62H17, 62H20, 62H25, 62H30, 62F25 Springer Heidelberg New York Dordrecht London © Springer-Verlag Berlin Heidelberg 2003, 2007, 2012, 2015 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, 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. The publisher, the authors and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, express or implied, with respect to the material contained herein or for any errors or omissions that may have been made. Printed on acid-free paper Springer-Verlag GmbH Berlin Heidelberg is part of Springer Science+Business Media (www.springer. com)
Preface to the Fourth Edition
The fourth edition of this book on Applied Multivariate Statistical Analysis offers a new sub-chapter on Variable Selection by using least absolute shrinkage and selection operator (LASSO) and its general form the so-called Elastic Net. All pictures and numerical examples have 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 Fig. 1.9, where we display the densities of the diagonal of genuine and counterfeit bank notes. We believe that these publicly available quantlets (see also http://sfb649.wiwi.hu-berlin.de/quantnet/) create a valuable contribution to distribution of knowledge in the statistical science. The
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