Wilks's lambda distribution
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In statistics, Wilks's 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. It is a multivariate generalization of the univariate F-distribution, and generalizes the F-distribution in the same way that the Hotelling's T-squared distribution generalizes Student's t-distribution.
independent and with
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 is the total degrees of freedom.
- Mardia, K.V.; J.T. Kent, J.M. Bibby (1979). Multivariate Analysis. Academic Press.
- Bartlett, M.S. (1954). "A note on multiplying factors for various approximations". Journal of the Royal Statistical Society, Series B 16: 296–298.