gives Wilks's for the matrices m1 and m2.
- WilksW[m1,m2] gives Wilks's between m1 and m2.
- Wilks's is a measure of linear dependence based on partitions of the pooled covariance matrix.
- Wilks's 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