Statistical Analysis of Observations of Increasing Dimension is devoted to the investigation of the limit distribution of the empirical generalized variance, covariance matrices, their eigenvalues and solutions of the system of linear algebraic equations with random coefficients, which are an important function of observations in multidimensional statistical analysis. A general statistical analysis is developed in which observed random vectors may not have density and their components have an arbitrary dependence structure. The methods of this theory have very important advantages in comparison with existing methods of statistical processing. The results have applications in nuclear and statistical physics, multivariate statistical analysis in the theory of the stability of solutions of stochastic differential equations, in control theory of linear stochastic systems, in linear stochastic programming, in the theory of experiment planning.

This book contains the results of 30 years of investigation by the author into the creation of a new theory on statistical analysis of observations, based on the principle of random arrays of random vectors and matrices of increasing dimensions. It describes limit phenomena of sequences of random observations, which occupy a central place in the theory of random matrices. This is the first book to explore statistical analysis of random arrays and provides the necessary tools for such analysis. This book is a natural generalization of multidimensional statistical analysis and aims to provide its readers with new, improved estimators of this analysis.
The book consists of 14 chapters and opens with the theory of sample random matrices of fixed dimension, which allows to envelop not only the problems of multidimensional statistical analysis, but also some important problems of mechanics, physics and economics. The second chapter deals with all 50 known canonical equations of the new statistical analysis, which form the basis for finding new and improved statistical estimators. Chapters 3-5 contain detailed proof of the three main laws on the theory of sample random matrices. In chapters 6-10 detailed, strong proofs of the Circular and Elliptic Laws and their generalization are given. In chapters 11-13 the convergence rates of spectral functions are given for the practical application of new estimators and important questions on random matrix physics are considered. The final chapter contains 54 new statistical estimators, which generalize the main estimators of statistical analysis.

This volume contains the papers from the Sixth Eugene Lukacs Symposium on ''Multidimensional Statistical Analysis and Random Matrices'', which was held at the Bowling Green State University, Ohio, USA, 29--30 March 1996. Multidimensional statistical analysis and random matrices have been the topics of great research. The papers presented in this volume discuss many varied aspects of this all-encompassing topic. In particular, topics covered include generalized statistical analysis, elliptically contoured distribution, covariance structure analysis, metric scaling, detection of outliers, density approximation, and circulant and band random matrices.

'Et mm. ..., si j'avait su comment en revenir, One service mathematics has rendered the je n'y serais point all' '' human race. It has put common sense back Jules Verne where it belongs, on the topmost shelf IIClI.t to the dusty canister labelled 'discarded non- The series is divergent; therefore we may be sense'. able to do something with it. Eric T. Bell O. Heaviside Mathematics is a tool for thought. A highly necessary tool in a world where both feedback and non linearities abound. Similarly, all kinds of parts of mathematics serve as tools for other parts and for other sciences. Applying a simple rewriting rule to the quote on the right above one finds such statements as: 'One service topology has rendered mathematical physics .. .'; 'One service logic has rendered com puter science .. .'; 'One service category theory has rendered mathematics .. .'. All arguably true. And all statements obtainable this way form part of the raison d'etre of this series."

'Et mm. ..., si j'avait su comment en revenir, One service mathematics has rendered the je n'y serais point all' '' human race. It has put common sense back Jules Verne where it belongs, on the topmost shelf IIClI.t to the dusty canister labelled 'discarded non- The series is divergent; therefore we may be sense'. able to do something with it. Eric T. Bell O. Heaviside Mathematics is a tool for thought. A highly necessary tool in a world where both feedback and non linearities abound. Similarly, all kinds of parts of mathematics serve as tools for other parts and for other sciences. Applying a simple rewriting rule to the quote on the right above one finds such statements as: 'One service topology has rendered mathematical physics .. .'; 'One service logic has rendered com puter science .. .'; 'One service category theory has rendered mathematics .. .'. All arguably true. And all statements obtainable this way form part of the raison d'etre of this series."