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Abstract:
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T.W. Anderson's contributions to multivariate statistical analysis spanned seven decades, from 1943 almost up to the day of his death. He, of course, wrote the standard textbook in theoretical multivariate statistics, now in its third edition, that has trained several generations of graduate students. In addition, he pioneered in dimensional-reduction methodology for multivariate statistical analysis, and in his 1982 Wald lectures showed how various parallel efforts in econometrics (simultaneous equations), psychometrics (factor analysis), errors-in-variables regression, and reduced rank classification and discriminant analysis were related to one another, thus permitting results obtained in one of these areas to be applied to the others. He also contributed to multivariate distribution theory and large sample theory, to obtaining optimality properties of various tests and estimators in multivariate statistical analysis, to analysis of patterned missing values, and to multivariate inequality theory. In the present lecture, I will try to cover the highlights of some of these contributions.
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