Publication: Descriptive measures of multivariate scatter and linear dependence
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2000-09
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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.
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Correlation, Principal components, Variability