Descriptive measures of multivariate scatter and linear dependence

Daniel Peña and Julio Rodríguez

Journal of Multivariate Analysis, 2003, vol. 85, issue 2, 361-374

Abstract: 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.

Keywords: Correlation; Principal; components; Variability (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (6)

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Working Paper: Descriptive measures of multivariate scatter and linear dependence (2000)
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