Statistical Procedures

In the last few decades the accumulation of large amounts of in­ formation in numerous applications. has stimtllated an increased in­ terest in multivariate analysis. Computer technologies allow one to use multi-dimensional and multi-parametric models successfully. At the same time, an interest arose in statistical analysis with a de­ ficiency of sample data. Nevertheless, it is difficult to describe the recent state of affairs in applied multivariate methods as satisfactory. Unimprovable (dominating) statistical procedures are still unknown except for a few specific cases. The simplest problem of estimat­ ing the mean vector with minimum quadratic risk is unsolved, even for normal distributions. Commonly used standard linear multivari­ ate procedures based on the inversion of sample covariance matrices can lead to unstable results or provide no solution in dependence of data. Programs included in standard statistical packages cannot process 'multi-collinear data' and there are no theoretical recommen­ dations except to ignore a part of the data. The probability of data degeneration increases with the dimension n, and for n > N, where N is the sample size, the sample covariance matrix has no inverse. Thus nearly all conventional linear methods of multivariate statis­ tics prove to be unreliable or even not applicable to high-dimensional data.

The term "robustness" does not lend itself to a clear-cut statistical definition. It seems to have been introduced by G. E. P. Box in 1953 to cover a rather vague concept described in the following way by Kendall and Buckland (1981). Their dictionary states:

The analysis of real data by means of statistical methods with the aid of a software package common in industry and administration will certainly be part of a future professional work of many students in mathematics or mathematical statistics.

Aspects of Multivariate Statistical Theory presents a classical mathematical treatment of the techniques, distributions, and inferences based on multivariate normal distribution. Noncentral distribution theory, decision theoretic estimation of the parameters of a multivariate normal distribution, and the uses of spherical and elliptical distributions in multivariate analysis are introduced. Advances in multivariate analysis are discussed, including decision theory and robustness. The book also includes tables of percentage points of many of the standard likelihood statistics used in multivariate statistical procedures. This definitive resource provides in-depth discussion of the multivariate field and serves admirably as both a textbook and reference.

Decision theory is generally taught in one of two very different ways. When of opti­ taught by theoretical statisticians, it tends to be presented as a set of mathematical techniques mality principles, together with a collection of various statistical procedures. When useful in establishing the optimality taught by applied decision theorists, it is usually a course in Bayesian analysis, showing how this one decision principle can be applied in various practical situations. The original goal I had in writing this book was to find some middle ground. I wanted a book which discussed the more theoretical ideas and techniques of decision theory, but in a manner that was constantly oriented towards solving statistical problems. In particular, it seemed crucial to include a discussion of when and why the various decision prin­ ciples should be used, and indeed why decision theory is needed at all.