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GeneralizedVariance

GeneralizedVariance[matrix]
gives the generalized variance for matrix.
  • GeneralizedVariance[matrix] effectively gives the determinant of the covariance matrix for matrix.
Generalized variance of bivariate data:
Needs["MultivariateStatistics`"]
Generalized variance of bivariate data:
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Generalized variance is equivalent to the determinant of the covariance matrix:
Generalized variance is equal to the product of the principal component variances: