Lambda is defined as the geometric sum of 1 minus the squared
canonical correlation , where lambda is Wilk's lambda. The squared canonical correlation is an estimate of the common variance between two canonical variates, thus 1 minus this value is an estimate of the unexplained variance. Lambda is used as a test of significance for the squared canonical correlation and is distributed as
Chi-square (see below).
where
N is the number of subjects
p is the number of variables on the right
q is the number of variables on the left
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