Generalized variance
From HandWiki
The generalized variance is a scalar value which generalizes variance for multivariate random variables. It was introduced by Samuel S. Wilks. The generalized variance is defined as the determinant of the covariance matrix, [math]\displaystyle{ \det(\Sigma) }[/math]. It can be shown to be related to the multidimensional scatter of points around their mean.[1]
References
- ↑ Kocherlakota, S.; Kocherlakota, K. (2004). "Generalized Variance". Encyclopedia of Statistical Sciences. Wiley Online Library. doi:10.1002/0471667196.ess0869. ISBN 0471667196. https://onlinelibrary.wiley.com/doi/10.1002/0471667196.ess0869. Retrieved 30 October 2019.
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