SpringerBriefs in Applied Statistics and Econometrics – serie

This book presents covariance matrix estimation and related aspects of random matrix theory. It focuses on the sample covariance matrix estimator and provides a holistic description of its properties under two asymptotic regimes: the traditional one, and the high-dimensional regime that better fits the big data context. It draws attention to the deficiencies of standard statistical tools when used in the high-dimensional setting, and introduces the basic concepts and major results related to spectral statistics and random matrix theory under high-dimensional asymptotics in an understandable and reader-friendly way. The aim of this book is to inspire applied statisticians, econometricians, and machine learning practitioners who analyze high-dimensional data to apply the recent developments in their work.

This book provides a coherent description of foundational matters concerning statistical inference and shows how statistics can help us make inductive inferences about a broader context, based only on a limited dataset such as a random sample drawn from a larger population. By relating those basics to the methodological debate about inferential errors associated with p-values and statistical significance testing, readers are provided with a clear grasp of what statistical inference presupposes, and what it can and cannot do. To facilitate intuition, the representations throughout the book are as non-technical as possible.The central inspiration behind the text comes from the scientific debate about good statistical practices and the replication crisis. Calls for statistical reform include an unprecedented methodological warning from the American Statistical Association in 2016, a special issue “Statistical Inference in the 21st Century:A World Beyond p < 0.05” of The American Statistician in 2019, and a widely supported call to “Retire statistical significance” in Nature in 2019.The book elucidates the probabilistic foundations and the potential of sample-based inferences, including random data generation, effect size estimation, and the assessment of estimation uncertainty caused by random error. Based on a thorough understanding of those basics, it then describes the p-value concept and the null-hypothesis-significance-testing ritual, and finally points out the ensuing inferential errors. This provides readers with the competence to avoid ill-guided statistical routines and misinterpretations of statistical quantities in the future.Intended for readers with an interest in understanding the role of statistical inference, the book provides a prudent assessment of the knowledge gain that can be obtained from a particular setof data under consideration of the uncertainty caused by random error. More particularly, it offers an accessible resource for graduate students as well as statistical practitioners who have a basic knowledge of statistics. Last but not least, it is aimed at scientists with a genuine methodological interest in the above-mentioned reform debate.