**Are you an EPFL student looking for a semester project?**

Work with us on data science and visualisation projects, and deploy your project as an app on top of GraphSearch.

Concept# Wilks's lambda distribution

Summary

In statistics, Wilks' lambda distribution (named for Samuel S. Wilks), is a probability distribution used in multivariate hypothesis testing, especially with regard to the likelihood-ratio test and multivariate analysis of variance (MANOVA).
Definition
Wilks' lambda distribution is defined from two independent Wishart distributed variables as the ratio distribution of their determinants,
given
:\mathbf{A} \sim W_p(\Sigma, m) \qquad \mathbf{B} \sim W_p(\Sigma, n)
independent and with m \ge p
:\lambda = \frac{\det(\mathbf{A})}{\det(\mathbf{A+B})} = \frac{1}{\det(\mathbf{I}+\mathbf{A}^{-1}\mathbf{B})} \sim \Lambda(p,m,n)
where p is the number of dimensions. In the context of likelihood-ratio tests m is typically the error degrees of freedom, and n is the hypothesis degrees of freedom, so that n+m is the total degrees of freedom.
Approximations
Computations or tables of the Wilks' distributio

Official source

This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.

Related publications

Loading

Related people

Loading

Related units

Loading

Related concepts

Loading

Related courses

Loading

Related lectures

Loading

Related publications

No results

Related people

Related units

No results

No results

Related concepts

No results

Related courses

Related lectures

No results

No results