WilksW

WilksW[m1,m2]
gives Wilks's for the matrices and .

DetailsDetails

  • WilksW[m1,m2] gives Wilks's between and .
  • Wilks's is a measure of linear dependence based on partitions of the pooled covariance matrix.
  • Wilks's is computed as 1-TemplateBox[{Sigma}, Det]/(TemplateBox[{{Sigma, _, {(, 11, )}}}, Det] TemplateBox[{{Sigma, _, {(, 22, )}}}, Det]) 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 Wilks's for two matrices:

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Wilks's for two vectors:

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Wilks's for a matrix and a vector:

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Introduced in 2012
(9.0)