Multivariate analysis arises with observations of more than one variable when there is some probabilistic linkage between the variables. In practice, most data collected by researchers in virtually all disciplines are multivariate in nature. In some cases, it might make sense to isolate each variable and study it separately. In most cases, however, the variables are interrelated in such a way that analyzing the variables in isolation may result in failure to uncover critical patterns in the data. Multivariate data analysis consists of methods that can be used to study several variables at the same time so that the full structure of the data can be observed and key properties can be identified. This course covers estimation, hypothesis tests, and distributions for multivariate mean vectors and covariance matrices. We also cover popular multivariate data analysis methods including multivariate data visualization, maximum likelihood, principal components analysis, multiple comparisons tests, multidimensional scaling, cluster analysis, discriminant analysis and multivariate analysis of variance, multiple regression and canonical correlation, and analysis of repeated measures data. Coursework will include computer assignments.
Linear algebra, multivariate calculus, and one semester of graduate probability and statistics (e.g., EN.625.603 Statistical Methods and Data Analysis).