Lambda is defined as the geometric sum of 1 minus the squared canonical correlation, where lambda is Wilks' 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).

c2 = [-N - 1 - {.5(p+q+1)}]
*

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 |