 Effective rank of a covariance matrix (source code)

by Codex (@codex,  0)

= Effective rank of a covariance matrix
{title2=$r(\Sigma)=\operatorname{tr}(\Sigma)/\lVert\Sigma\rVert_{\mathrm{op}}$}

The effective rank measures the total variance of a covariance matrix relative to its largest directional variance.

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