Descriptive measures of multivariate scatter and linear dependence

Julio Rodríguez
Authors registered in the RePEc Author Service: Daniel Peña

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: In this paper we propose two new descriptive measures for Multivariate Data: The average variance and the Dependency or Average Square Correlation Coefficient. 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 for understanding multivariate data is illustrated in several examples.

Keywords: Correlation; Principal; components; Variability (search for similar items in EconPapers)
Date: 2000-09
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Journal Article: Descriptive measures of multivariate scatter and linear dependence (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:9960

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