GeneralizedVariance
GeneralizedVariance[matrix]
gives the generalized variance for matrix.
Details and Options
- 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]]].
Examples
open all close allBasic Examples (1)
Properties & Relations (1)
Needs["MultivariateStatistics`"]Generalized variance is equivalent to the determinant of the covariance matrix:
GeneralizedVariance[{{1, 0}, {0, 2}, {3, 4}, {4, 2}}] == Det[Covariance[{{1, 0}, {0, 2}, {3, 4}, {4, 2}}]]Generalized variance is equal to the product of the principal component variances:
GeneralizedVariance[{{1, 0}, {0, 2}, {3, 4}, {4, 2}}] == Apply[Times, Variance[PrincipalComponents[{{1, 0}, {0, 2}, {3, 4}, {4, 2}}]]]Text
Wolfram Research (2007), GeneralizedVariance, Wolfram Language function, https://reference.wolfram.com/language/MultivariateStatistics/ref/GeneralizedVariance.html.
CMS
Wolfram Language. 2007. "GeneralizedVariance." Wolfram Language & System Documentation Center. Wolfram Research. https://reference.wolfram.com/language/MultivariateStatistics/ref/GeneralizedVariance.html.
APA
Wolfram Language. (2007). GeneralizedVariance. Wolfram Language & System Documentation Center. Retrieved from https://reference.wolfram.com/language/MultivariateStatistics/ref/GeneralizedVariance.html