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Multivariate Statistics Package Symbol

TotalVariation

TotalVariation[matrix]
gives the total variation for matrix.

To use TotalVariation, you first need to load the Multivariate Statistics Package using Needs["MultivariateStatistics`"].

TotalVariation[matrix] effectively gives the trace of the covariance matrix for matrix.

Total variation of bivariate data:

Needs["MultivariateStatistics`"]

Total variation of bivariate data:

Total variation is equivalent to the trace of the covariance matrix:

Total variation is equivalent to the sum of column variances: