What Wilks´s lambda is
Wilks’ lambda (also known as Wilks’ lambda statistic) is a statistical method used to compare the relative strengths of two groups of variables. It is most commonly used in the analysis of multivariate data.
Steps for Wilks’ lambda:
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Calculate the Covariance Matrix. The first step in calculating Wilks’ lambda is to calculate the covariance matrix for the data set. This is a matrix that contains the variances and covariances between all pairs of variables.
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Calculate the Inverse of the Covariance Matrix. The next step is to take the inverse of the covariance matrix. This can be done using either matrix algebra or numerical methods.
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Calculate the Wilks’ Lambda Statistic. The Wilks’ lambda statistic is calculated by taking the product of the inverse of the covariance matrix and the variances of each of the variables. The resulting statistic is a measure of the relative strength of the two groups of variables.
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Interpret the Results. The last step is to interpret the results of the Wilks’ lambda statistic. If the resulting statistic is greater than one, then the two groups of variables are relatively weakly correlated. If the statistic is less than one, then the two groups of variables are relatively strongly correlated.
Examples
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Wilks’ lambda is often used to compare the relative strength of two or more groups of subjects by assessing the covariance between the two groups.
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Wilks’ lambda is used to determine the significance of differences between groups when the groups differ in size.
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Wilks’ lambda is used to identify trends in data by assessing the covariance between multiple variables.
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Wilks’ lambda is used to determine the relative strength of a model when comparing multiple models.