gives Pillai's trace for the matrices m1 and m2.
- PillaiTrace[m1,m2] gives Pillai's trace between m1 and m2.
- Pillai's trace is a measure of linear dependence based on partitions of the pooled covariance matrix.
- Pillai's trace is computed as where is the covariance matrix of the pooled sample, which can be partitioned into where and correspond to the covariance matrices of the individual datasets.
- The arguments m1 and m2 can be any real‐valued matrices or vectors of equal length.
Introduced in 2012