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JAMES R. SCHOTT, Optimal bounds for the distributions of some test criteria for tests of dimensionality, Biometrika, Volume 71, Issue 3, December 1984, Pages 561–567, https://doi.org/10.1093/biomet/71.3.561
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Abstract
SUMMARY
Optimal upper bounds are obtained for the distributions of two functions of the m - r smallest latent roots of HE−1, where E and H have Wishart distributions with identical covariance matrices; E has a central distribution while H has a noncentral distribution with unknown noncentrality matrix Δ of rank r. These bounds are then used to investigate the chi-squared approximation for some test criteria used in tests of dimensionality.
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© 1984 Biometrika Trust
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