Wilks lambda statistic ($\Lambda =|E|/|E+H|$)

For nonsingular within-group scatter $E$ and between-group scatter $H$, the statistic is ${\prod }_j(1+{\theta }_j{)}^{-1}$, where ${\theta }_j$ solve the generalized eigenvalue problem $Hv=\theta Ev$. It is small when the group means differ strongly relative to within-group variation. Maximizing a common-covariance normal likelihood under equal and unrestricted means gives the likelihood ratio ${\Lambda }^{N/2}$. Its determinant factors cancel under any nonsingular change of response coordinates. For one response it is equivalent to the analysis of variance F-test.