 fact that under the assumed (multivariate) normal
distribution of the residuals, the squared (normalized) residuals
follows a <span class="math inline">\(\chi^{2}_{m}\)</span> distribution
with degrees of freedom equal to the number of elements of <span class="math inline">\(e_{i}\)</span> i.e: <span class="math display">\[
r_{i}^2 = e_{i}^{T} \Sigma_{i}^{-1} e_{i} \sim \chi^{2}_{m}
\]</span> It is therefore reasonable to choose the threshold level
(value of <span class="math inline">\(c\)</span>) which de