Local normal approximations and probability metric bounds for the matrix-variate $T$ distribution and its application to Hotelling's $T$ statistic

In this paper, we develop local expansions for the ratio of the centered matrix-variate $T$ density to the centered matrix-variate normal density with the same covariances. The approximations are used to derive upper bounds on several probability metrics (such as the total variation and Hellinger distance) between the corresponding induced measures.