Descriptive measures of multivariate scatter and linear dependence

In this paper we propose two new descriptive measures for multivariate data: the effective variance and the effective dependence. These measures have a direct geometric and statistical interpretation and can be used to compare groups with different number of variables. The contribution of these measures to understanding multivariate data is illustrated by several examples.

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Year of publication:	2003
Authors:	Peña, Daniel ; Rodríguez, Julio
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 85.2003, 2, p. 361-374
Publisher:	Elsevier
Subject:	Correlation Principal components Variability

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005199760