• Donzé Laurent

• Donzé Laurent

• Rosset Julien

The course will focus on some traditional topics in Multivariate Statistics:

1. Specific regression methods (Linear models; shrinkage methods; principal components regression and partial least squares regression)
2. Principal components analysis (Decomposition of data matrices by factors; principal components analysis; principal factors and principal components)
3. Factor analysis (Introduction; orthogonal factor model; total variance and model fit; determination of the number of factors; rotation of factors; estimation of factor scores)
4. Independent component analysis. 

The theoretical concepts and the methods are illustrated by practical applications. R is the software used.

Moodle

The course is part of the supplied of Master courses in applied statistics, which is a packet of four half-yearly ones of 4.5 ECTS (one by semester) over two years:

1. Topics in multivariate statistics
2. Introduction to Bayesian statistics
3. Inference, evaluation, and selection of models
4. Classification methods

Although they complete each other, they can be chosen separately. Of general interest, the set of courses gives a broad view of problems and applied statistical methods, and of the data science. A server of Jupyter notebooks completes the course.

There is no specific public. Although the courses are primarily conceived for students of the Faculty of Management, Economics and Social Sciences, they can be attended by other students. 

The student will benefit not only of theoretical knowledge but is also skilled in the use of the methods presented during the course.

Only students who will have validated the course could write a Master thesis under the supervision of the professor. The course is taught in French, but the students can talk in German or English. The exam can be written in one of this language.

A script with a listing of references is provided. The student will find on the course's Moodle platform other resources.

• ASAM - Topics in Multivariate Statistics
• Syllabus - Thèmes choisis de statistique multivariée

Les étudiant-e-s par groupe de deux ou trois effectuent un projet durant le semestre dont les modalités sont définies en début de semestre. La réussite du projet est nécessaire pour participer à l'examen.

Durée d'examens: 90 minutes. A livres ouverts

UPDATE 21.12.2021: Durée d'examen 60 minutes pour l'épreuve en ligne

Les étudiant-e-s par groupe de deux ou trois effectuent un projet durant le semestre dont les modalités sont définies en début de semestre. La réussite du projet est nécessaire pour participer à l'examen.

Durée d'examens: 90 minutes. A livres ouverts

UPDATE 21.12.2021: Durée d'examen 60 minutes pour l'épreuve en ligne