k = 0

repeat

k ← k + 1

$G_i\left(k\right)\stackrel{\text{i.i.d.}}{\sim }N\left(0,1\right),\hspace{0.5em}i=1,\cdots ,n$

$U_j^{\mathrm{\ast }}\left(k\right)={\displaystyle {\sum }_{i=1}^n{U}_{ij}{G}_i\left(k\right)},\hspace{0.17em}{W}_j^{\mathrm{\ast }}\left(k\right)=U_j^{\mathrm{\ast }\text{T}}\left(k\right)V_j^{-1}{U}_j^{\mathrm{\ast }}\left(k\right)$

$W^{\mathrm{\star }}\left(k\right)={\text{max}}_{1\le j\le p}{W}_j^{\mathrm{\star }}\left(k\right)$

untilk ≥ B

Calculate the 100(1 − α)th percentile of {W⋆(1), …, W⋆(B)}