AMS 256 Linear Statistical Models

Course Description

Linear Model theory plays a fundamental role in the foundation of mathematical and applied statistics. It has a base in distribution theory and statistical
inference, and nds application in many advanced areas in statistics including
univariate and multivariate regression, analysis of designed experiments, longitudinal and time series analysis, spatial analysis, multivariate analysis, wavelet
methods, etc.
This course will provide an overview and in-depth introduction on general
principles of inference in linear models. The focus of this course will be on
the classical (frequentist, non-Bayesian) theory of linear models. Most of the
examples used in this course will be simple or multiple regression and analysis of
variances. Since this is a one-quarter course, it cannot cover the contemporary
topics, such as, random and mixed-eects models, generalized linear models,
Bayesian linear models, general additive models, dynamic linear models and
longitudinal models. However, my intention is to provide you a solid theoretical
base for learning these newer statistical methods in future. If time permits, I
will introduce and give references to some of the topics mentioned above.
Since this is a course on theory, the WORKING knowledge of linear
algebra and calculus is required.

Books and Materials

Text book is not required but recommended. The completed handouts will be
provided online.
A First Course in Linear Model Theory by Nalini Ravishanker and Dipak
K.Dey will the the text book. The course will cover most of the materials from
Chapter 3 to Chapter 8. Chapter 1 and 2 are about basic concepts of linear and
matrix algebra with a view towards application in linear models. I will provide
the scanned form of these two chapters online for you as references.
There are several other excellent books on this subject: Linear Statistical
Inference and its Applications, by C. R. Rao, Linear Models, by S. R. Searle,
Theory and of the Linear Model, by F. A. Graybill, Plain Answers to Complex
Questions: The Theory of linear Models, by R. Christiansen and The Theory
of Linear Models, by B. Jorgensen.

Tentative Schedule

Week 1: Generalized inverses & Solutions to linear systems

Week 2: Model denition and examples & The least squares approach
Week 3: Estimable functions & Gauss-Markov theorem & Generalized least squares
Week 4: Estimation subject to linear restrictions: Lagrangian Multipliers & orthogonal projections & Quiz 1
Week 5: Multivariate Normal and Related Distributions
Week 6: Sampling from Multivariate Normal Distribution & Properties of least
squares estimates
Week 7: General linear hypotheses & Quiz 2
Week 8: Condence intervals and multiple comparisons
Week 9: Restricted and reduced models & Maximum likelihood estimation under
normality
Week 10: Departures from model assumptions & model selection in regression

Home works, Quizzes and Exam

Students are expected to do their own work on all written assignments and
exams. Cheating on exams, submitting work of others as your own, or plagiarism
in any form will not be tolerated and will result in a zero grade of the assignment
or F for this course. Refer to the University Policy on Academic Honesty for
denitions of cheating and plagiarism. All incidents of cheating/plagiarism will
be reported to the Vice President for Student Aairs.
Home works will be given in class every one or two weeks.
There will be 3 Quizzes and 1 Exam for this course, each counts for 25%.
The First Quiz will be on April 25th in class(Thursday of the forth week).
The Second Quiz will be on May 4th in class(Thursday of the seventh week).
The rst two quizzes are close book and close notes.
The Third Quiz and the Final exam will be given at the last class and due
on June 13th (Thursday) at 11:59 pm (Pacic Time).
All the quizzes will be on the materials covered in class. The exam will be
on some extra reading material provided by the instructor and the knowledge
taught in this course.
Students are expected to send emails with AMS 256 in the email titles to
the instructor (yuefeng@soe.ucsc.edu) by the due time. The answer should be
sent as the attachments of the emails and should be in MS word, pdf or jpeg
format. The answers can be typed or handwritten as long as they are readable.