Applications of random matrix theory to multivariate statistics

Craig Tracy

Abstract:

Lecture 1. (Monday, July 4) Introduction to multivariate statistics

Lecture 2. (Tuesday, July 5) The Wishart distribution, real and complex.

Lecture 3. (Wednesday, July 6) Zonal polynomials and the HCIZ integral

Lecture 4. (Thursday, July 7) The null hypothesis case: Covariance matrix equals the identity

Lecture 5. (Friday, July 8) Lecture 4 continued and finite rank perturbations of identity covariance for the complex case.