Multivariate Statistics: Wishart and Hotelling T²

In course

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Description

This lecture covers the Wishart distribution, properties of Wishart matrices, partitioned Wishart matrices, and the Hotelling T² distribution. It also delves into the two-sample Hotelling T² statistic, focusing on normal data matrices, transformations, and the relationship between the sample mean and covariance matrix. The instructor, Erwan Koch from EPFL, Institute of Mathematics, explains the conditions for a matrix to have a Wishart distribution, the independence of elements in a data matrix, and the Hotelling T² distribution parameters.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_oqkxvvdp

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Ontological neighbourhood

Mathematics

Algebra: Linear algebra

Statistics

Statistical inference: Mathematical statistics

Logic

Classical logic: First-order logic

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