Solved – Recommendations for mathematical multivariate statistics with exercises

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I need a graduate level, mathematically rigorous textbook on multivariate analysis and inference to enhance myself. I've been reading the Elements of Statistical Learning and doing the problems within, but I need a book with other focuses. Topics like famous distributions (Wishart, Wilks lambda, etc.), hypothesis testing, some theory on estimation (point, interval), and other more modern materials are welcome. I've checked this question, but the OP there was looking for something useful for his psychological analysis, which is not exactly what I want here. Currently I have the An Introduction to Multivariate Statistical Analysis, so I would also like to hear the comments about this book and its exercises. Thank you.

Best Answer

Anderson is probably the most mathematical of the existing textbooks, and as such is orthogonal to the material in HTF. So this could be a good fit for you. I wrote an Amazon list on multivariate books when I was looking for one to teach both an elective doctorate course, and an applied master's course. Mardia, Kent and Bibby and Rencher top that list, so either one could be a decent alternative if Anderson proves to be too heavy.