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MULTIVARIATE STATISTICS PACKAGE SYMBOL
GeneralizedVariance
GeneralizedVariance[matrix]
gives the generalized variance for matrix.
Details
- To use
, 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]]].
