Monograph

MULTIVARIATE STATISTICAL ANALYSIS.
A HIGH-DIMENSIONAL APPROACH

by Vadim I.Serdobolskii

KLUWER ACADEMIC PUBLISHERS
DORDRECHT / BOSTON / LONDON / 2000

ISBN 0-7923-6643-3

БЕН РАН  шифр 813/2943-7                    МИАН шифр 004470

МГУ мехмат шифр 2S492

Announcement

Foreword

Preface

Introduction

Kolmogorov Asymptotics in Problems of Multivariate Analysis

Spectral Theory of Large Covariance Matrices

 

 

 

 

 

 

Chapter 1. Spectral Properties of Large Wishart Matrices

Chapter 2. Resolvents and Spectral Functions
of Large Sample Covariance Matrices

Chapter 3. Resolvents and Spectral Functions
of Large Pooled Sample Covariance Matrices

Chapter 4. Normal Evaluation of Quality Functions

Chapter 5. Estimation of High-Dimensional Inverse Covariance Matrices

Chapter 6. Epsilon-Dominating Component- Wise
Shrinkage Estimators of Normal Mean

Chapter 7. Improved Estimators of High -Dimensional Expectation Vectors

Chapter 8. Quadratic Risk of Linear Regression
with a Large Number of Random Predictors

Chapter 9. Linear Discriminant Analysis of Normal Populations
with Coinciding Covariance Matrices

Chapter 10. Population Free Quality of Discrimination

Chapter 11. Theory of Discriminant Analysis
of the Increasing Number of Independent Variables

References
Index

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