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, ${\displaystyle \det(\Sigma )}$. It can be shown to be related to the multidimensional scatter of points around their mean.[1]

References

1. Kocherlakota, S.; Kocherlakota, K. (2004). "Generalized Variance". Encyclopedia of Statistical Sciences. Wiley Online Library. doi:10.1002/0471667196.ess0869. ISBN 0471667196. Retrieved 30 October 2019.