PillaiTrace

PillaiTrace[m1,m2]
gives Pillai's trace for the matrices and .

DetailsDetails

  • PillaiTrace[m1,m2] gives Pillai's trace between and .
  • Pillai's trace is a measure of linear dependence based on partitions of the pooled covariance matrix.
  • Pillai's trace is computed as Tr[TemplateBox[{{(, {Sigma, _, {(, 11, )}}, )}}, Inverse].Sigma_(12).TemplateBox[{{(, {Sigma, _, {(, 22, )}}, )}}, Inverse].Sigma_(21)] 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 and can be any realvalued matrices or vectors of equal length.

ExamplesExamplesopen allclose all

Basic Examples  (3)Basic Examples  (3)

Compute Pillai's trace for two matrices:

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Pillai's trace for two vectors:

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Pillai's trace for a matrix and a vector:

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Introduced in 2012
(9.0)