# Applied Multivariate Statistical Analysis

```@inproceedings{Hrdle2003AppliedMS,
title={Applied Multivariate Statistical Analysis},
author={Wolfgang Karl H{\"a}rdle and L{\'e}opold Simar},
year={2003}
}```
• Published 10 September 2003
• Mathematics
I Descriptive Techniques: Comparison of Batches.- II Multivariate Random Variables: A Short Excursion into Matrix Algebra.- Moving to Higher Dimensions.- Multivariate Distributions.- Theory of the Multinormal.- Theory of Estimation.- Hypothesis Testing.- III Multivariate Techniques: Regression Models.- Variable Selection.- Decomposition of Data Matrices by Factors.- Principal Components Analysis.- Factor Analysis.- Cluster Analysis.- Discriminant Analysis.- Correspondence Analysis.- Canonical…
854 Citations
Orthonormal Canonical Correlation Analysis
The orthonormal approximation of data matrices which corresponds to using singular value decomposition in the canonical correlations is presented, which can be helpful in managerial estimations and decision making.
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A general variable selection procedure is introduced that can be applied to several parametric multivariate problems, including principal components and regression, among others, to allow the identification of a small subset of the original variables that can ‘better explain’ the model through nonparametric relationships.
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This paper constructs nonlinear canonical correlation analysis in reproducing kernel Hilbert spaces and presents methods to solve this problem and compares the results obtained by classical and kernel canonical correlationAnalysis.
Multivariate Small Area Estimation of Multidimensional Latent Economic Well‐being Indicators
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International Statistical Review
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Applied Quantitative Finance
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Econometric Theory
• 2011
In this paper we propose a new approximate factor model for large cross-section and time dimensions. Factor loadings are assumed to be smooth functions of time, which allows considering the model as

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Applied Quantitative Finance
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Value at Risk.- Modeling Dependencies with Copulae.- Quantification of Spread Risk by Means of Historical Simulation.- A Copula-Based Model of the Term Structure of CDO Tranches.- VaR in High
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