Multivariate Statistics [Large-sample and High-dimensional Statistics] (Stat 667)
Spring 2018

General Information

Lecturer Zhiqiang Tan
Office: 459 Hill Center
Email: ztan at

Lectures: MW 10:20-11:40AM, HIL 522
Office hours: M 1:00-1:30PM.
TA Yisha Yao
Email: yy276 at
Textbook Ferguson, T.S. (1996), A Course in Large Sample Theory, Chapman and Hall.
van der Vaart (1998), Asymptotic Statistics, Cambridge University Press.
Buhlmann and van de Geer (2011), Statistics for High-Dimensional Data, Springer.
van de Geer (2016), Estimation and Testing Under Sparsity, Springer.

Niemiro (1992), Hjort & Pollard (1993), Newey & McFadden (1994).
Classical large-sample theory
Probability and moment inequalities
High-dimensional analysis of Lasso
Others ...
Exams and Homework Homework will be assigned. There will be midterm and final projects.
Makeup policy Make-up exams will only be given if written documentation of a major outside circumstance is provided by a dean or a doctor.
Students who miss exams without presenting proper documentation in a timely manner will receive a grade of zero.
Homework Assignments HW 1, HW 2, HW 3, HW 4, HW 5, HW 6.
HW 1 solution.
HW 2 solution.
HW 3 solution.
HW 4 solution.