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 real-valued matrices or vectors of equal length.
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