No textbook is required for this course. Lecture notes will be provided.
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| January 10 | Some examples of high dimensional data : (i) image processing; (ii) bioinformatics; (iii) wireless communication ; (iv) econometrics and finance | ||
| January 15 | lecture notes 2 | Properties of multivariate normal distribution; Exterior differntial forms | |
| January 17 | Computation of Jacobians for various transformations | ||
| January 22 | lecture notes 3 | Haar measure and Wishart distribution | |
| January 24 | Properties of Wishart distribution | ||
| January 29 | lecture notes 4 | Tests for a normal mean : Hotelling's T-square statistic | |
| January 31 | Eigenvalues and eigenvectors of the sample covariance matrix | ||
| February 5 | lecture notes 5 | Estimation of normal mean | |
| February 7 | Estimation of normal mean : shrinkage estimation; James-Stein estimator | ||