Multivariate Statistics Package Symbol

GeneralizedVariance

GeneralizedVariance[matrix]
gives the generalized variance for matrix.

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]]].

Generalized variance of bivariate data:

Needs["MultivariateStatistics`"]

Generalized variance of bivariate data:

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

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