Generalized variance
Appearance
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, . It can be shown to be related to the multidimensional scatter of points around their mean.[1]
References
- ^ Kocherlakota, S.; Kocherlakota, K. "Generalized Variance". Encyclopedia of Statistical Sciences. Wiley Online Library. Retrieved 30 October 2019.