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The distribution of the latent roots of the covariance matrix calculated from a sample from a normal multivariate population, was found by Fisher 3, Hsu 6 and Roy 10 for the special, but important case when the population covariance matrix is a scalar matrix, = ²I. By use of the representation theory of the linear group, we are able to obtain the general distribution for arbitrary.
A. T. James (Tue,) studied this question.