gives Pillai's trace for the matrices and .
- 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 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 real-valued matrices or vectors of equal length.
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