A measure for total variability in multivariate normal distribution

DOI10.1016/S0167-9473(96)00042-4MaRDI QIDQ673283zbMATHFDO

Authors Seppo Mustonen

Publication date 28 February 1997

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

zbMATH Keywords

Generalized varianceMeasure of variabilityMultivariate normal distributionTotal variation

Mathematics Subject Classification ID

Multivariate analysis (62H99) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Recommendations

• Extended generalised variances, with applications
• Dimensionless Measures of Variability and Dependence for Multivariate Continuous Distributions
• Inferences on the generalized variance under normality
• Descriptive measures of multivariate scatter and linear dependence

Cited in

(6)

• Akaike's information criterion and recent developments in information complexity
• Forecasting Swiss exports using Bayesian forecast reconciliation
• A normed measure of variability among proportions
• On some entropy and divergence type measures of variability and dependence for mixed continuous and discrete variables
• Descriptive measures of multivariate scatter and linear dependence
• A novel definition of the multivariate coefficient of variation

Describes a project that uses

Uses Software

• Survo

This page was built for publication: A measure for total variability in multivariate normal distribution

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q673283)