WilksWTest
WilksWTest[m1, m2] tests whether the matrices m1 and m2 are independent.
WilksWTest[..., "property"] returns the value of "property".
Examples
Test independence of two matrices:
WilksWTest[{{1, 2}, {3, 4}}, {{5, 6}, {7, 8}}]Please visit the official Wolfram Language Reference for more details.