The generalized variance is a scalar value which generalizes variance for multivariate random variables. It was introduced by Samuel S. Wilks.
The generalized variance is defined as the determinant of the covariance matrix, . It can be shown to be related to the multidimensional scatter of points around their mean. [1]
Analysis of variance (ANOVA) is a collection of statistical models and their associated estimation procedures used to analyze the differences among means. ANOVA was developed by the statistician Ronald Fisher. ANOVA is based on the law of total variance, where the observed variance in a particular variable is partitioned into components attributable to different sources of variation. In its simplest form, ANOVA provides a statistical test of whether two or more population means are equal, and therefore generalizes the t-test beyond two means. In other words, the ANOVA is used to test the difference between two or more means.
In probability theory and statistics, variance is the expected value of the squared deviation from the mean of a random variable. The standard deviation is obtained as the square root of the variance. Variance is a measure of dispersion, meaning it is a measure of how far a set of numbers is spread out from their average value. It is the second central moment of a distribution, and the covariance of the random variable with itself, and it is often represented by , , , , or .
In probability and statistics, Student's t-distribution is a continuous probability distribution that generalizes the standard normal distribution. Like the latter, it is symmetric around zero and bell-shaped.
In mathematics, a Hadamard matrix, named after the French mathematician Jacques Hadamard, is a square matrix whose entries are either +1 or −1 and whose rows are mutually orthogonal. In geometric terms, this means that each pair of rows in a Hadamard matrix represents two perpendicular vectors, while in combinatorial terms, it means that each pair of rows has matching entries in exactly half of their columns and mismatched entries in the remaining columns. It is a consequence of this definition that the corresponding properties hold for columns as well as rows.
In econometrics, the autoregressive conditional heteroskedasticity (ARCH) model is a statistical model for time series data that describes the variance of the current error term or innovation as a function of the actual sizes of the previous time periods' error terms; often the variance is related to the squares of the previous innovations. The ARCH model is appropriate when the error variance in a time series follows an autoregressive (AR) model; if an autoregressive moving average (ARMA) model is assumed for the error variance, the model is a generalized autoregressive conditional heteroskedasticity (GARCH) model.
In statistics, multivariate analysis of variance (MANOVA) is a procedure for comparing multivariate sample means. As a multivariate procedure, it is used when there are two or more dependent variables, and is often followed by significance tests involving individual dependent variables separately.
The Mahalanobis distance is a measure of the distance between a point and a distribution , introduced by P. C. Mahalanobis in 1936. Mahalanobis's definition was prompted by the problem of identifying the similarities of skulls based on measurements in 1927.
In statistics, sometimes the covariance matrix of a multivariate random variable is not known but has to be estimated. Estimation of covariance matrices then deals with the question of how to approximate the actual covariance matrix on the basis of a sample from the multivariate distribution. Simple cases, where observations are complete, can be dealt with by using the sample covariance matrix. The sample covariance matrix (SCM) is an unbiased and efficient estimator of the covariance matrix if the space of covariance matrices is viewed as an extrinsic convex cone in Rp×p; however, measured using the intrinsic geometry of positive-definite matrices, the SCM is a biased and inefficient estimator. In addition, if the random variable has a normal distribution, the sample covariance matrix has a Wishart distribution and a slightly differently scaled version of it is the maximum likelihood estimate. Cases involving missing data, heteroscedasticity, or autocorrelated residuals require deeper considerations. Another issue is the robustness to outliers, to which sample covariance matrices are highly sensitive.
In statistics, nonlinear regression is a form of regression analysis in which observational data are modeled by a function which is a nonlinear combination of the model parameters and depends on one or more independent variables. The data are fitted by a method of successive approximations.
In statistics, homogeneity and its opposite, heterogeneity, arise in describing the properties of a dataset, or several datasets. They relate to the validity of the often convenient assumption that the statistical properties of any one part of an overall dataset are the same as any other part. In meta-analysis, which combines the data from several studies, homogeneity measures the differences or similarities between the several studies.
In probability theory and statistics, the generalized inverse Gaussian distribution (GIG) is a three-parameter family of continuous probability distributions with probability density function
In mathematics, a weighing matrix of order and weight is a matrix with entries from the set such that:
In statistics, generalized least squares (GLS) is a method used to estimate the unknown parameters in a linear regression model when there is a certain degree of correlation between the residuals in the regression model. GLS is employed to improve statistical efficiency and reduce the risk of drawing erroneous inferences compared to conventional least squares and weighted least squares methods. It was first described by Alexander Aitken in 1935.
A mixed model, mixed-effects model or mixed error-component model is a statistical model containing both fixed effects and random effects. These models are useful in a wide variety of disciplines in the physical, biological and social sciences. They are particularly useful in settings where repeated measurements are made on the same statistical units, or where measurements are made on clusters of related statistical units. Because of their advantage in dealing with missing values, mixed effects models are often preferred over more traditional approaches such as repeated measures analysis of variance.
Generalized Procrustes analysis (GPA) is a method of statistical analysis that can be used to compare the shapes of objects, or the results of surveys, interviews, or panels. It was developed for analysing the results of free-choice profiling, a survey technique which allows respondents to describe a range of products in their own words or language. GPA is one way to make sense of free-choice profiling data; other ways can be multiple factor analysis (MFA), or the STATIS method. The method was first published by J. C. Gower in 1975.
In statistics, a generalized estimating equation (GEE) is used to estimate the parameters of a generalized linear model with a possible unmeasured correlation between observations from different timepoints. Although some believe that Generalized estimating equations are robust in everything even with the wrong choice of working-correlation matrix, Generalized estimating equations are only robust to loss of consistency with the wrong choice.
Shayle Robert Searle PhD was a New Zealand mathematician who was professor emeritus of biological statistics at Cornell University. He was a leader in the field of linear and mixed models in statistics, and published widely on the topics of linear models, mixed models, and variance component estimation.
In probability and statistics, an elliptical distribution is any member of a broad family of probability distributions that generalize the multivariate normal distribution. Intuitively, in the simplified two and three dimensional case, the joint distribution forms an ellipse and an ellipsoid, respectively, in iso-density plots.
The growth curve model in statistics is a specific multivariate linear model, also known as GMANOVA. It generalizes MANOVA by allowing post-matrices, as seen in the definition.
In statistics, a sequence of random variables is homoscedastic if all its random variables have the same finite variance; this is also known as homogeneity of variance. The complementary notion is called heteroscedasticity, also known as heterogeneity of variance. The spellings homoskedasticity and heteroskedasticity are also frequently used. Assuming a variable is homoscedastic when in reality it is heteroscedastic results in unbiased but inefficient point estimates and in biased estimates of standard errors, and may result in overestimating the goodness of fit as measured by the Pearson coefficient.
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