Monday Feb 4th 2008 (09.00-11.00) at Study Hall of Matematics, a seminar on multivariate analysis has been help. The speaker was Prof. Maman A. Djauhari, one of well established ITB statiscian. He presented his paper, A Measure of Data Concentration, which had been published in The Journal of Applied Probability and Statistics Vol. 2 No. 2, 2007. Below is the abstract of the paper.
A Measure of Multivariate Data Concentration
Maman A. Djauhari
Journal of Applied Probability and Statistics Vo. 2, No. 2 pp 139-155.
Volume ellipsoid and covariance determinant have been successfully used as multivariate data concentration measures. However, their computations are quite cumbersome especially when the data sets are of high dimension. In this paper we present an analytical approach of vector variance as an alternative measure which can eliminate this obstacle and, in order to be able to use it in practical applications, we derive its asymptotic distributional properties. Its sensitivity to the change of covariance structure will be discussed.
I attended the seminar, as I have very much the same interest regarding multivariate analysis of hydrochemistry data on volcanic areas.