Multivariate Summary Statistics

This package provides a few methods for summarizing multivariate data.

Partial Correlation

StatsBase.partialcor — Function.

partialcor(x, y, Z)

Compute the partial correlation of the vectors x and y given Z, which can be a vector or matrix.

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Generalizations of Variance

StatsBase.genvar — Function.

genvar(X)

Compute the generalized sample variance of X. If X is a vector, one-column matrix, or other iterable, this is equivalent to the sample variance. Otherwise if X is a matrix, this is equivalent to the determinant of the covariance matrix of X.

Note

The generalized sample variance will be 0 if the columns of the matrix of deviations are linearly dependent.

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StatsBase.totalvar — Function.

totalvar(X)

Compute the total sample variance of X. If X is a vector, one-column matrix, or other iterable, this is equivalent to the sample variance. Otherwise if X is a matrix, this is equivalent to the sum of the diagonal elements of the covariance matrix of X.

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