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GeneralizedVariance

See Also
- Variance
- Functions
- TotalVariation
Related Guides
- Multivariate Statistics Package
Tech Notes
- Multivariate Statistics Package
- See Also
  - Variance
  - Functions
  - TotalVariation
- Related Guides
  - Multivariate Statistics Package
- Tech Notes
  - Multivariate Statistics Package

MultivariateStatistics`

MultivariateStatistics`

GeneralizedVariance

GeneralizedVariance[matrix]

gives the generalized variance for matrix.

Details and Options

To use GeneralizedVariance, you first need to load the Multivariate Statistics Package using Needs["MultivariateStatistics`"].
GeneralizedVariance[matrix] effectively gives the determinant of the covariance matrix for matrix.
For numeric matrix, GeneralizedVariance[matrix] is equal to Apply[Times,Variance[PrincipalComponents[matrix]]].

Examples

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Basic Examples (1)

Generalized variance of bivariate data:

Properties & Relations (1)

Generalized variance is equivalent to the determinant of the covariance matrix:

Generalized variance is equal to the product of the principal component variances:

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