Methods of Multivariate Analysis, 3rd Edition PDF by Alvin C. Rencher and  William F. Christensen

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Methods of Multivariate Analysis, Third Edition

By Alvin C. Rencher and  William F. Christensen

Methods of Multivariate Analysis, Third Edition

Contents:

Preface Xvii

Acknowledgments Xxi

1 Introduction 1

1.1 Why Multivariate Analysis? 1

1.2 Prerequisites 3

1.3 Objectives 3

1.4 Basic Types Of Data And Analysis 4

2 Matrix Algebra 7

2.1 Introduction 7

2.2 Notation And Basic Definitions 8

2.2.1 Matrices, Vectors, And Scalars 8

2.2.2 Equality Of Vectors And Matrices 9

2.2.3 Transpose And Symmetric Matrices 9

2.2.4 Special Matrices 10

2.3 Operations 11

2.3.1 Summation And Product Notation 11

2.3.2 Addition Of Matrices And Vectors 12

2.3.3 Multiplication Of Matrices And Vectors 13

2.4 Partitioned Matrices 22

2.5 Rank 23

2.6 Inverse 25

2.7 Positive Definite Matrices 26

2.8 Determinants 28

2.9 Trace 31

2.10 Orthogonal Vectors And Matrices 31

2.11 Eigenvalues And Eigenvectors 32

2.11.1 Definition 32

2.11.2 I + A A N D L – A 34

2.11.3 Tr(A)And|Aj 34

2.11.4 Positive Definite And Semidefinite Matrices 35

2.11.5 The Product Ab 35

2.11.6 Symmetric Matrix 35

2.11.7 Spectral Decomposition 35

2.11.8 Square Root Matrix 36

2.11.9 Square And Inverse Matrices 36

2.11.10 Singular Value Decomposition 37

2.12 Kronecker And Vec Notation 37

Problems 39

Characterizing And Displaying Multivariate Data 47

3.1 Mean And Variance Of A Univariate Random

Variable 47

3.2 Covariance And Correlation Of Bivariate

Random Variables 49

3.2.1 Covariance 49

3.2.2 Correlation 53

3.3 Scatterplots Of Bivariate Samples 55

3.4 Graphical Displays For Multivariate Samples 56

3.5 Dynamic Graphics 58

3.6 Mean Vectors 63

3.7 Covariance Matrices 66

3.8 Correlation Matrices 69

3.9 Mean Vectors And Covariance Matrices For

Subsets Of Variables 71

3.9.1 Two Subsets 71

3.9.2 Three Or More Subsets 73

3.10 Linear Combinations Of Variables 75

3.10.1 Sample Properties 75

3.10.2 Population Properties 81

3.11 Measures Of Overall Variability 81

3.12 Estimation Of Missing Values 82

3.13 Distance Between Vectors 84

Problems 85

The Multivariate Normal Distribution 91

4.1 Multivariate Normal Density Function 91

4.1.1 Univariate Normal Density 92

4.1.2 Multivariate Normal Density 92

4.1.3 Generalized Population Variance 93

4.1.4 Diversity Of Applications Of The Multivariate Normal 93

4.2 Properties Of Multivariate Normal Random

Variables 94

4.3 Estimation In The Multivariate Normal 99

4.3.1 Maximum Likelihood Estimation 99

4.3.2 Distribution Of Y And S 100

4.4 Assessing Multivariate Normality 101

4.4.1 Investigating Univariate Normality 101

4.4.2 Investigating Multivariate Normality 106

4.5 Transformations To Normality 108

4.5.1 Univariate Transformations To Normality 109

4.5.2 Multivariate Transformations To Normality 110

4.6 Outliers 111

4.6.1 Outliers In Univariate Samples 112

4.6.2 Outliers In Multivariate Samples 113

Problems 117

Tests On One Or Two Mean Vectors 125

5.1 Multivariate Versus Univariate Tests 125

5.2 Tests On Ì With Ó Known 126

5.2.1 Review Of Univariate Test For H0: Ì = Ì0 With Ó

Known 126

5.2.2 Multivariate Test For H0: Ì = Ì0 With Ó Known 127

5.3 Tests On Ì When Ó Is Unknown 130

5.3.1 Review Of Univariate ß-Test For H0: Ì = Ì0 With Ó

Unknown 130

5.3.2 Hotelling’s T2-Test For H0: Ì = Ì0 With Ó Unknown 131

5.4 Comparing Two Mean Vectors 134

5.4.1 Review Of Univariate Two-Sample I-Test 134

5.4.2 Multivariate Two-Sample T2 -Test 135

5.4.3 Likelihood Ratio Tests 139

5.5 Tests On Individual Variables Conditional On

Rejection Of H0 By The T2-Test 139

5.6 Computation Of T2 143

5.6.1 Obtaining T2 From A Manova Program 143

5.6.2 Obtaining T2 From Multiple Regression 144

5.7 Paired Observations Test 145

5.7.1 Univariate Case 145

5.7.2 Multivariate Case 147

5.8 Test For Additional Information 149

5.9 Profile Analysis 152

5.9.1 One-Sample Profile Analysis 152

5.9.2 Two-Sample Profile Analysis 154

Problems 161

Multivariate Analysis Of Variance 169

6.1 One-Way Models 169

6.1.1 Univariate One-Way Analysis Of Variance (Anova) 169

6.1.2 Multivariate One-Way Analysis Of Variance Model

(Manova) 171

6.1.3 Wilks’test Statistic 174

6.1.4 Roy’s Test 178

6.1.5 Pillai And Lawley-Hotelling Tests 179

6.1.6 Unbalanced One-Way Manova 181

6.1.7 Summary Of The Four Tests And Relationship To T2 182

6.1.8 Measures Of Multivariate Association 186

6.2 Comparison Of The Four Manova Test Statistics 189

6.3 Contrasts 191

6.3.1 Univariate Contrasts 191

6.3.2 Multivariate Contrasts 192

6.4 Tests On Individual Variables Following

Rejection Of I/0 By The Overall Manova Test 195

6.5 Two-Way Classification 198

6.5.1 Review Of Univariate Two-Way Anova 198

6.5.2 Multivariate Two-Way Manova 201

6.6 Other Models 207

6.6.1 Higher-Order Fixed Effects 207

6.6.2 Mixed Models 208

6.7 Checking On The Assumptions 210

6.8 Profile Analysis 211

6.9 Repeated Measures Designs 215

6.9.1 Multivariate Versus Univariate Approach 215

6.9.2 One-Sample Repeated Measures Model 219

6.9.3 Fc-Sample Repeated Measures Model 222

6.9.4 Computation Of Repeated Measures Tests 224

6.9.5 Repeated Measures With Two Within-Subjects Factors

And One Between-Subjects Factor 224

6.9.6 Repeated Measures With Two Within-Subjects Factors

And Two Between-Subjects Factors 230

6.9.7 Additional Topics 232

6.10 Growth Curves 232

6.10.1 Growth Curve For One Sample 232

6.10.2 Growth Curves For Several Samples 239

6.10.3 Additional Topics 241

6.11 Tests On A Sub Vector 241

6.11.1 Test For Additional Information 241

6.11.2 Stepwise Selection Of Variables 243

Problems 244

Tests On Covariance Matrices 259

7.1 Introduction 259

7.2 Testing A Specified Pattern For Ó 259

7.2.1 Testing H0: Ó = Ó0 260

7.2.2 Testing Sphericity 261

7.2.3 Testing H0: Ó = Ó2[(1 – P)L + Pj] 263

7.3 Tests Comparing Covariance Matrices 265

7.3.1 Univariate Tests Of Equality Of Variances 265

7.3.2 Multivariate Tests Of Equality Of Covariance Matrices 266

7.4 Tests Of Independence 269

7.4.1 Independence Of Two Subvectors 269

7.4.2 Independence Of Several Subvectors 271

7.4.3 Test For Independence Of All Variables 275

Problems 276

Discriminant Analysis: Description Of Group Separation 281

8.1 Introduction 281

8.2 The Discriminant Function For Two Groups 282

8.3 Relationship Between Two-Group Discriminant

Analysis And Multiple Regression 286

8.4 Discriminant Analysis For Several Groups 288

8.4.1 Discriminant Functions 288

8.4.2 A Measure Of Association For Discriminant Functions 292

8.5 Standardized Discriminant Functions 292

8.6 Tests Of Significance 294

8.6.1 Tests For The Two-Group Case 294

8.6.2 Tests For The Several-Group Case 295

8.7 Interpretation Of Discriminant Functions 298

8.7.1 Standardized Coefficients 298

8.7.2 Partial F-Values 299

8.7.3 Correlations Between Variables And Discriminant

Functions 300

8.7.4 Rotation 301

8.8 Scatterplots 301

8.9 Stepwise Selection Of Variables 303

Problems 306

Classification Analysis: Allocation Of Observations To Groups;309

9.1 Introduction 309

9.2 Classification Into Two Groups 310

9.3 Classification Into Several Groups 314

9.3.1 Equal Population Covariance Matrices: Linear

Classification Functions 315

9.3.2 Unequal Population Covariance Matrices: Quadratic

Classification Functions 317

7.3.1 Univariate Tests Of Equality Of Variances 265

7.3.2 Multivariate Tests Of Equality Of Covariance Matrices 266

7.4 Tests Of Independence 269

7.4.1 Independence Of Two Subvectors 269

7.4.2 Independence Of Several Subvectors 271

7.4.3 Test For Independence Of All Variables 275

Problems 276

Discriminant Analysis: Description Of Group Separation 281

8.1 Introduction 281

8.2 The Discriminant Function For Two Groups 282

8.3 Relationship Between Two-Group Discriminant

Analysis And Multiple Regression 286

8.4 Discriminant Analysis For Several Groups 288

8.4.1 Discriminant Functions 288

8.4.2 A Measure Of Association For Discriminant Functions 292

8.5 Standardized Discriminant Functions 292

8.6 Tests Of Significance 294

8.6.1 Tests For The Two-Group Case 294

8.6.2 Tests For The Several-Group Case 295

8.7 Interpretation Of Discriminant Functions 298

8.7.1 Standardized Coefficients 298

8.7.2 Partial F-Values 299

8.7.3 Correlations Between Variables And Discriminant

Functions 300

8.7.4 Rotation 301

8.8 Scatterplots 301

8.9 Stepwise Selection Of Variables 303

Problems 306

Classification Analysis: Allocation Of Observations To Groups;309

9.1 Introduction 309

9.2 Classification Into Two Groups 310

9.3 Classification Into Several Groups 314

9.3.1 Equal Population Covariance Matrices: Linear

Classification Functions 315

9.3.2 Unequal Population Covariance Matrices: Quadratic

Classification Functions 317

9.4 Estimating Misclassification Rates 318

9.5 Improved Estimates Of Error Rates 320

9.5.1 Partitioning The Sample 321

9.5.2 Holdout Method 322

9.6 Subset Selection 322

9.7 Nonparametric Procedures 326

9.7.1 Multinomial Data 326

9.7.2 Classification Based On Density Estimators 327

9.7.3 Nearest Neighbor Classification Rule 330

9.7.4 Classification Trees 331

Problems 336

10 Multivariate Regression 339

10.1 Introduction 339

10.2 Multiple Regression: Fixed X’s 340

10.2.1 Model For Fixed X’s 340

10.2.2 Least Squares Estimation In The Fixed-X Model 342

10.2.3 An Estimator For Ó2 343

10.2.4 The Model Corrected For Means 344

10.2.5 Hypothesis Tests 346

10.2.6 R2 In Fixed-X Regression 349

10.2.7 Subset Selection 350

10.3 Multiple Regression: Random X’s 354

10.4 Multivariate Multiple Regression: Estimation 354

10.4.1 The Multivariate Linear Model 354

10.4.2 Least Squares Estimation In The Multivariate Model 356

10.4.3 Properties Of Least Squares Estimator B 358

10.4.4 An Estimator For Ó 360

10.4.5 Model Corrected For Means 361

10.4.6 Estimation In The Seemingly Unrelated Regressions

(Sur) Model 362

10.5 Multivariate Multiple Regression: Hypothesis

Tests 364

10.5.1 Test Of Overall Regression 364

10.5.2 Test On A Subset Of The X’s 367

10.6 Multivariate Multiple Regression: Prediction 370

10.6.1 Confidence Interval For E(Y0) 370

10.6.2 Prediction Interval For A Future Observation Yo 371

10.7 Measures Of Association Between The Y\ And

The X’s 372

10.8 Subset Selection 374

10.8.1 Stepwise Procedures 374

10.8.2 All Possible Subsets 377

10.9 Multivariate Regression: Random X’s 380

Problems 381

Canonical Correlation 385

11.1 Introduction 385

11.2 Canonical Correlations And Canonical

Variates 385

11.3 Properties Of Canonical Correlations 390

11.4 Tests Of Significance 391

11.4.1 Tests Of No Relationship Between The Y’s And The X’s 391

11.4.2 Test Of Significance Of Succeeding Canonical

Correlations After The First 393

11.5 Interpretation 395

11.5.1 Standardized Coefficients 396

11.5.2 Correlations Between Variables And Canonical Variates 397

11.5.3 Rotation 397

11.5.4 Redundancy Analysis 398

11.6 Relationships Of Canonical Correlation

Analysis To Other Multivariate Techniques 398

11.6.1 Regression 398

11.6.2 Manova And Discriminant Analysis 400

Problems 402

Principal Component Analysis 405

12.1 Introduction 405

12.2 Geometric And Algebraic Bases Of Principal

Components 406

12.2.1 Geometric Approach 406

12.2.2 Algebraic Approach 410

12.3 Principal Components And Perpendicular

Regression 412

12.4 Plotting Of Principal Components 414

12.5 Principal Components From The Correlation

Matrix 419

12.6 Deciding How Many Components To Retain 423

12.7 Information In The Last Few Principal

Components 427

12.8 Interpretation Of Principal Components 427

12.8.1 Special Patterns In S Or R 427

12.8.2 Rotation 429

12.8.3 Correlations Between Variables And Principal

Components 429

12.9 Selection Of Variables 430

Problems 432

Exploratory Factor Analysis 435

13.1 Introduction 435

13.2 Orthogonal Factor Model 437

13.2.1 Model Definition And Assumptions 437

13.2.2 Nonuniqueness Of Factor Loadings 441

13.3 Estimation Of Loadings And Commonalities 442

13.3.1 Principal Component Method 443

13.3.2 Principal Factor Method 448

13.3.3 Iterated Principal Factor Method 450

13.3.4 Maximum Likelihood Method 452

13.4 Choosing The Number Of Factors, M 453

13.5 Rotation 457

13.5.1 Introduction 457

13.5.2 Orthogonal Rotation 458

13.5.3 Oblique Rotation 462

13.5.4 Interpretation 465

13.6 Factor Scores 466

13.7 Validity Of The Factor Analysis Model 470

13.8 Relationship Of Factor Analysis To Principal

Component Analysis 475

Problems 476

Confirmatory Factor Analysis 479

14.1 Introduction 479

14.2 Model Specification And Identification 480

14.2.1 Confirmatory Factor Analysis Model 480

14.2.2 Identified Models 482

14.3 Parameter Estimation And Model Assessment 487

14.3.1 Maximum Likelihood Estimation 487

14.3.2 Least Squares Estimation 488

14.3.3 Model Assessment 489

14.4 Inference For Model Parameters 492

14.5 Factor Scores 495

Problems 496

Cluster Analysis 501

15.1 Introduction 501

15.2 Measures Of Similarity Or Dissimilarity 502

15.3 Hierarchical Clustering 505

15.3.1 Introduction 505

15.3.2 Single Linkage (Nearest Neighbor) 506

15.3.3 Complete Linkage (Farthest Neighbor) 508

15.3.4 Average Linkage 511

15.3.5 Centroid 514

15.3.6 Median 514

15.3.7 Ward’s Method 517

15.3.8 Flexible Beta Method 520

15.3.9 Properties Of Hierarchical Methods 521

15.3.10 Divisive Methods 529

15.4 Nonhierarchical Methods 531

15.4.1 Partitioning 532

15.4.2 Other Methods 540

15.5 Choosing The Number Of Clusters 544

15.6 Cluster Validity 546

15.7 Clustering Variables 547

Problems 548

Graphical Procedures 555

16.1 Multidimensional Scaling 555

16.1.1 Introduction 555

16.1.2 Metric Multidimensional Scaling 556

16.1.3 Nonmetric Multidimensional Scaling 560

16.2 Correspondence Analysis 565

16.2.1 Introduction 565

16.2.2 Row And Column Profiles 566

16.2.3 Testing Independence 570

16.2.4 Coordinates For Plotting Row And Column Profiles 572

16.2.5 Multiple Correspondence Analysis 576

Biplors 580

16.3.1 Introduction 580

16.3.2 Principal Component Plots 581

16.3.3 Singular Value Decomposition Plots 583

16.3.4 Coordinates 583

16.3.5 Other Methods 585

Problems 588

Appendix A: Tables 597

Appendix B: Answers And Hints To Problems 637

Appendix C: Data Sets And Sas Files 727

References 728

Index 745

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