Mini course: Multivariate statistical analysis
in insurance and finance (22-23 April 2009)
Course leader: Dr. Zdeněk Hlávka (Charles University in Prague)
Schedule and topics:
- 22 Apr 2009 (Wednesday) -
building C11, room 5.05, 15:15 – 17:00
Graphical
display of multivariate data: scatterplot matrix,
parallel coordinate plot, Chernoff-Flury faces.
Application on house prices and profitability of selected
U.S. companies
- 23 Apr 2009 (Thursday) -
building C11, room 5.05, 8:00 – 9:00
Short
introduction to matrix algebra. Multivariate normality,
marginal and conditional distributions. Characteristics
of multivariate data
- 23 Apr 2009 (Thursday) -
building C11, room 5.05, 9:15 – 11:00
Decomposition
of data matrices by factors. Principal components.
Implementation in R, analysis of the house prices and
profitability data sets
- 23 Apr 2009 (Thursday) -
building C11, room 5.05, 11:15 – 13:00
Selected
tools for market segmentation and credit scoring (cluster
analysis and discriminant analysis)
Recommended reading:
- Applied Multivariate
Statistical Analysis by W. Härdle and L. Simar (html e-book version)
- Multivariate
Statistics: Solutions and Exercises by W. Härdle
and Z. Hlávka (data sets and slides, slides are password protected:
login "multi", pass "variate")
Suggestion:
