Lecture_note1.pdf

1. Aspects of Multivariate Analysis
1.1 Introduction
This course is considered with statistical methods designed to elicit information
from the data sets with many different variables. Because the data include
simultaneous measurements on many variables, this body of methodology is
called multivariate analysis.
1

• The need to understand the relationships between many variables makes
multivariate analysis an inherently difficult subject.
• Most of our emphasis will be on the analysis of measurements obtained
without actively controlling or manipulating any of the variables on which
the measurement are made.
• Many multivariate methods are based upon an underlying probability model
known as the multivariate normal distribution.
• Multivariate analysis is a “mixed bag”. It is difficult to establish a
classification scheme for multivariate techniques that both widely accepted
and indicates the appropriateness of the techniques.
2

The objectives of scientific investigations to which multivariate methods
most naturally lend themselves include the following
• Data reduction or structural simplification
• Sorting and grouping
• Investigation of the dependence among variables
• prediction
• Hypothesis construction and testing
If the results disagree with informed opinion, do not admit a simple logical
interpretation, and do not show up clearly in a graphical presentation, they are
probably wrong. There is no magic about numerical methods, and many ways
in which they can break down. They are a value aid to the interpretation of
data, not sausage machines automatically transforming bodies of numbers into
packet of scientific fact.
3

1.2 Application of Multivariate Techniques
Data reduction or simplification
• Using data on several variables related to cancer patient responses to
radio-therapy, a simple measure of patient response to radiotherapy was
constructed.
• Track records from many nations were used to develop an index of
performance for both male and female athletes.
• Multispectral image data collected by a high -altitude scanner were reduced
to a form that could be viewed as images (pictures) of a shoreline in two
dimensions.
• Data on several variables relating to yield and protein content were used to
create an index to select parents of subsequent generations of improved bean
plants.
• A matrix of tactic similarities was developed from aggregate data derived
from professional mediators. From this matrix the number of dimensions by
which professional mediator judge the tactics they use in resolving disputes
was determined. 4

Sorting and grouping
• Data on several variables related to computer use were employed to create
clusters of categories of computer jobs that allow a better determination of
existing(or planned) computer utilization.
• Measurements of several physiological variables were used to develop a
screening procedure that discriminates alcoholics from nonalcoholics.
• Data related to responses to visual stimuli were used to develop a rule for
separating people suffering from a multiple-sclerosis-caused visual pathology
from those not suffering from disease.
• The U.S. Internal Revenue Service uses data collected from tax returns to
sort taxpayers into two groups: those that will be audited and those will not.
5

Investigation of the dependence among variables
• Data on several variables were used to identify factors that were responsible
for client success in hiring external consultants.
• Measurement of variables related to innovation, on the one hand, and
variables related to the business environment and business organization, on
the other hand, were used to discover why some firms are product innovators
and some firm are not.
• Measurements of pulp fiber characteristics and subsequent measurements of
characteristics of the paper made from them are used to examine the relations
between pulp fiber properties and the resulting paper properties. The goal is
to determine those fiber that lead to higher quality paper.
• The association between measures of risk-taking propensity and measures of
socioeconomic characteristics for top-level business executive were used to
assess the relation between risk-taking behavior and performance.
6

Prediction
• The association between test scores, and several high school performance
variables, and several college performance variables were used to develop
predictors of success in college.
• Data on several variables related to the size distribution of sediments were
used to develop rules for predicting different depositional environments.
• Measurement on several accounting and financial variables were used to
develop a method for identifying potentially insolvent property-liability
insurers.
• cDNA microarray experiment(gene expression data) are increasing used to
study the molecular variation among cancer tumors. A reliable classification
of tumor is essential for successful diagnosis and treatment of cancer.
7

Hypotheses testing
• Several pollution-related variables were measured to determine whether levels
for a large metropolitan area were roughly constant throughout the week, or
whether there was a noticeable difference between weekdays and weekends.
• Experimental data on several variables were used to see whether the nature
of the instruction makes any difference in perceives risk, as quantified by test
scores.
• Data on many variables were used to investigate the differences in structure
of American occupations to determine the support for one of two competing
sociological theories.
• Data on several variables were used to determine whether different types
of firms in newly industrialized countries exhibited different patterns of
innovation.
8

1.3 The Organization of Data
Array
Multivariate data arise whenever an investigator, seeking to understand a
social or physical phenomenon, selects p ≥ 1 of variables or characters to record.
The values of these variables are all recorded for each distinct item, individual
or experimental unit
xjk = measurement of the kth variable on the jth item
Consequently, n measurements on p variables can be displayed as a rectangular
array, called X, of n rows and p columns:
X =








x11 x12 · · · x1k · · · x1p
x21 x22 · · · x2k · · · x2p
.
.
. .
.
. .
.
. .
.
.
xj1 xj2 · · · xjk · · · xjp
.
.
. .
.
. .
.
. .
.
.
xn1 xn2 · · · xnk · · · xnp








9

Example 1.1 (A data array) A selection of four receipts from a university
bookstore was obtained in order to investigate the nature of book sales. Each
receipt provided., among other things, the number of books sold and the total
amount of each sale. Let the first variable be total dollar sales and the second
variable be number of books sold. Then we can regard the corresponding
number on the receipts as four measurements on two variables. Suppose the
data, in tabular form, are
Variable 1 (dollar sales): 42 52 48 58
Variable 2 (number of books): 4 5 4 3
10

Descriptive Statistics
A large data set is bulky, and its very mass poses a serious obstacle to
any attempt to visually extract pertinent information. Much of the information
contained in the data can be assessed by calculating certain summary numbers,
known as descriptive statistics.
• The arithmetic average or sample mean, is a descriptive statistics that
provides a measure of location — that is, a “central value” for a set of
numbers.
• The average of the squares of the distances of all of the number from mean
provides a measure of the spread, or variation, in numbers.
11

• Sample mean
x̄1 =
1
n
n
X
i=1
xj1 or x̄k =
1
n
n
X
i=1
xjk k = 1, 2, . . . , p
• Sample variance
s2
k = skk =
1
n
n
X
j=1
(xjk − x̄k)2
, k = 1, 2, . . . , p.
• Sample standard deviation
√
skk.
12

• Sample covariance
sik =
1
n
n
X
j=1
(xji − x̄i)(xjk − x̄k)
• Sample correlation coefficient (or Pearson’s product-moment correlation
coefficient)
rik =
sik
√
sii
√
skk
=
n
P
j=1
(xji − x̄i)(xjk − x̄k)
s
n
P
j=1
(xji − x̄i)2
s
n
P
j=1
(xjk − x̄k)2
13

1. The value of r must between −1 and +1 inclusive.
2. Here r measures the strength of the linear association.
– r = 0: implies linear independent, lack of linear association between the
components.
– r < 0: implies a tendency for one value in the pair to be larger than its
average when the other is smaller than its average.
– r > 0: implies a tendency for one value of the pair to be large when the
other value is large and also for both values to be small together.
3. The value of rik remain unchange if the measurements of ith variable are
changed to yji = axji + b, j = 1, 2, . . . , n, and the value of the kth variable
are changed to yjk = cxjk + d, j = 1, 2, . . . , n, provide that the constants a
and c have the same sign.
14

Example 1.2 (The arrays x̄, Sn and R for bivariate data) Consider the
data introduced in Example 1.1.Each receipt yields a pair of measurements,
total dollar sales, and number of books sold. Find the array x̄, Sn and R.
15

Graphical Techniques
Variable 1 (x1): 3 4 2 6 8 2 5
Variable 2 (x2): 5 5.5 4 7 10 5 7.5
16

Variable 1 (x1): 5 4 6 2 2 8 3
Variable 2 (x2): 5 5.5 4 7 10 5 7.5
17

Example 1.3 (The effect of unusual observations on sample
correlations) Some financial data representing jobs and productivity for the
16 largest publishing firms appeared in an article in Forbes magazine on April
30,1990. The data for the pair of variable x1 = employees(jobs) and x2=profit
per employee (productivity) are graphed in Figure 1.3. We have labeled two
“unusual” observations. Dun&Bradstreet is the largest firm in term of number
of employees, but is “typical” in terms of profits per employee. Time Warner
has a “typical” number of employees, but comparatively small (negative) profit
per employee.
18

The sample correlation coefficient computed from the values of x1 and x2 is
r12 =







−0.39 for all 16 firms
−0.56 for all firms but Dun and & Bradstreet
−0.39 for all firms but Time Warner
−0.50 for all firms but Dun&Bradstreet and Time Warner
It is clear that atypical observations can have a considerable effect on the
sample correlation coefficient.
Example 1.4 (A scatter plot for baseball data ) In a July 17, 1978, article
on money in sports, Sports Illustrated magazine provided data on x1 =player
payroll for National League East baseball teams.
We have added data on x2 =won-lost percentage for 1977. The results are
given in Table 1.1
19

1 1.5 2 2.5 3 3.5 4
x 10
6
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
x1
x
2
Payer payroll in millions of dollars
20

Example 1.5 (Multiple scatter plot for paper strength measurement)
Paper is manufactured in continuous sheets several feet wide. Because of the
orientation of fibers within the paper, it has a different strength when measured
in the direction produced by the machine than when measured across, or at
right angles to, the machine direction. The measured values includes
• x1 = density (grams/cublic centimeter)
• x2 = strength (pounds) in the machine direction
• x3 = strength (pounds) in the cross direction
21

Example 1.6 (Looking for lower-dimensional structure) A zoologist
obtained measurement on n = 25 lizard known scientifically as Cophosaurus
texanus. The weight, or mass, is given in millimeters. The data are displayed
in Table 1.3.
23

Example 1.7 (Looking for group structure in three dimensions) Referring
to Example 1.6, it is interesting to see if male and female lizard occupy different
parts of three dimensional space containing the size data. The gender, by row,
for the lizard data in Table 1.3 are
f m f f m f m f m f m f m m m m f m m m f f m f f
26

Data Display and Pictorial Representations
Linking Multiple Two-Dimensional Scatter Plots
Example 1.8 (Linked scatter plots and brushing) To illustrate linked two-
dimensional scatter plots, we refer to the paper-quality data in Example 1.5.
These data represent measurements on the variables x1 =density, x2 =strength
in the machine direction, and x3 =strength in the cross direction.
28

Example 1.9 (Rotated plots in three dimensions) Four different
measurements of lumber stiffness are given. Specimen (broad) 16 and possibly
specimen (broad) 9 are identified as unusual observations.
33

Graphs of Growth Curves
Example 1.10 (Array of growth curves) The Alaska Fish and Game
Department monitor grizzly bears with the goad of maintaining a health
population. Bears are shot with a dart to induce sleep and weighted on a
scale hanging from a tripod. Measurements of length are taken with a steel
tape. The following Table gives the weights (wt) in kilograms and lengths
(lngth) in centimeters of seven female bears at 2,3,4 and 5 years of age.
The noticeable exception to a common patter is the curve for bear 5. Is
this an outlier or just natural variation in the population ? In the field, bears
are weighted on a scale that reads pounds. Further inspection revealed that,
in this case, an assistant later failed to convert the field reading to kilogram
s when creating the electronic database. The correct weights are (45, 66, 84,
112) kilograms.
34

Stars
Example 1.11 ( Utility data as stars) Stars representing the first 5 of the
22 public utility firms data are shown in the following figure. There are eight
variables; consequently, the stars are distorted octagons.
38

Chernoff Faces
People react to faces. Chernoff suggest representing p-dimensional observation
as a two-dimenional face whose characteristics ( face shape, mouth curvature,
nose length, eye size, pupil position, and so forth ) are determined by the
measurements on the p variables.
Chernoff faces appear to be most useful for verifying (1) an initial grouping
suggested by subject-matter knowledge and intuition or (2) final groupings
produced by clustering algorithms.
39

Example 1.12 (Utility data as Chernoff faces) The 22 public utility companies
data were represented as chernoff faces. We have the following correspondences:
40

Example 1.14 (Using Chernoff faces to show changes over time ) The
following figure illustrates an additional use of Chernoff faces. In the figure,
the faces are used to track the financial well-being of a company over time.
As indicated, each facial feature represent a single financial indicator, and the
longitudinal changes in these indicators are thus evident at a glance
42

1.5 Distance
• Straight-line, or Euclidean distance between P = (x1, x2) and O = (0, 0)
d(O, P) =
q
x2
1 + x2
2
• In general, if the point P = (x1, x2, . . . , xp) and O = (0, 0, . . . , 0)
d(O, P) =
q
x2
1 + x2
2 + . . . + x2
p
• Straight-line or Euclidean distance is unsatisfactory for most statistical
purposes. This is because each coordinates contributes equally to the
calculation of Eucildean distance.
43

• Statistical distance
• When the coordinates represent measurements that are subject to random
fluctuations of differing magnitudes, it is often to desirable to weight
coordinates subject to a great deal of variability less heavily than those
that are not highly variable.
44

• Standardize coordinates.
Suppose we have n pairs of measurements on two variables x1, x2each having
mean zero.
x∗
1 = x1/
√
s11 and x∗
1 = x1/
√
s22.
Hence a statistical distance of the point P = (x1, x2) from the origin
O = (0, 0) can be defined as
d(O, P) =
q
(x∗
1)2 + (x∗
2)2 =
s
x2
1
s11
+
x2
2
s22
.
• All points which have coordinates (x1, x2) and are constant square distance
c2
from origin muse satisfy
x2
1
s11
+
x2
2
s22
= c2
and lie on an ellipse. 45

• The statistical distance from an arbitrary point P = (x1, x2) to any fixed
point Q = (y1, y2).
d(P, Q) =
s
(x1 − y1)2
s11
+
(x2 − y2)
s22
.
• The extension of statistical distance to more than two dimensions P =
(x1, x2, . . . , xp) and Q = (y1, y2, . . . , yp)
d(P, Q) =
s
(x1 − y1)2
s11
+
(x2 − y2)
s22
+ · · · +
(xp − yp)
spp
.
• All point P that are a constant squared distance from Q lie on a hyper-
ellipsoid centered at Q whose major and minor axes are parallel to the
coordinate axes.
46

The distances defined above does not include most of the important cases
we shall encounter, because of the assumption of independent coordinates. See
the following scatter plot
47

• Rotate x1 and x2 directions to directions x̃1 and x̃2.
• Define the distance from the point P = (x̃1, x̃2) to the origin O = (0, 0) as
d(O, P) =
s
x̃2
1
s̃11
+
x̃2
2
s̃22
.
where s̃11 and s̃22 denote the sample variances computed with the x̃1 and x̃2
measurements.
• The relation between the original coordinates (x1, x2) and the rotated
coordinates (x̃1, x̃2) is provided by
x̃1 = x1 cos(θ) + x2 sin(θ)
x̃2 = −x1 sin(θ) + x2 cos(θ)
48

• After some straightforward algebraic manipulations, the distance from P =
(x̃1, x̃2) to origin O = (0, 0) can be written in term of the original coordinates
x1 and x2
d(O, P) =
q
a11x2
1 + 2a12x1x2 + a22x2
2
where the a0
s are numbers such that the distance is nonnegative for all
possible variables of x1 and x2.
• In general, the statistical distance of the point P = (x1, x2) from the fixed
point Q = (y1, y2) for the situation in which the variables are correlated has
the general form
d(P, Q) =
p
a11(x1 − y1)2 + 2a12(x1 − y1)(x2 − y2) + a22(x2 − y2)2
• The generalization of the distance formulas to p dimensions
d(P, Q) =
v
u
u
t
n
X
i=1
aii(xi − yi)2 +
n
X
i6=j
2aij(xi − yi)(xj − yj)
49

Any distance measure d(P, Q) between two points P and Q is valid provided
that it satisfies the following properties, where R is any other intermediate
point:
(a) d(P, Q) = d(Q, P)
(b) d(P, Q) > 0 if P 6= Q
(c) d(P, Q) = 0 if P = Q
(d) d(P, Q) ≤ d(P, R) + d(R, Q)
50

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