A closed-form CDF for Roy's largest root of a non-central F-matrix with rank-one non-centrality is derived, with SNR-scaling limits for detection power in finite and high-dimensional regimes.
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Detection of Signals in Colored Noise: Roy's Largest Root Test for Non-central $F$-matrices
A closed-form CDF for Roy's largest root of a non-central F-matrix with rank-one non-centrality is derived, with SNR-scaling limits for detection power in finite and high-dimensional regimes.