Generalized variance

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
  1. Kocherlakota, S.; Kocherlakota, K. "Generalized Variance". Encyclopedia of Statistical Sciences. Wiley Online Library. Retrieved 30 October 2019.
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