MULTVAR <covariance_matrix_S>,L
computes a variability measure Mvar(S) of S.Mustonen (1995).
By default, the stepwise method is used.
The exhaustive method is selected by METHOD=EXHAUSTIVE.
The accuracy parameter in Cholesky decompositions is
set by EPS=eps (Default EPS=0.000001).
The optimally permuted covariance matrix is saved
as a matrix file COVVAR.M .
Reference:
S. Mustonen: A measure for total variability
in multivariate normal distribution
Computational Statistics & Data Analysis (1997)
1 = More information on additional multivariate operations
M = More information on multivariate analysis
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