Goal: To familiarize the students with the basics of multivariate statistics, both with the theoretical foundations and the most important applications.
Course description: Multivariate distributions, multivariate normal distribution, conditional distributions, Wishart-distributions, Cochran’s theorem. ML estimation of the parameters of the multivariate normal distribution, hypothesis testing. Multidimensional regression, its role in scientific investigations. The linear regression model, OLS-estimation, properties of the estimator, model assumptions. Extensions of the linear regression.