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GeneralizedVariance

GeneralizedVariance[matrix]
gives the generalized variance for matrix.

MORE INFORMATION

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]]].

Basic Examples (1)

Needs["MultivariateStatistics`"]

Generalized variance of bivariate data:

Properties & Relations (1)

Variance TotalVariation

Multivariate Statistics Package

Multivariate Statistics Package

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