I'm not sure if this is what you are looking for, but take a look at:
On Sun, 25 Jan 2009 11:26:03 +0100, scott hershberger
>I was wondering whether anyone could tell me if SAS directly computes the
>standard error of an eigenvalue or characteristic root? I need to compute
>the confidence interval for an eigenvalue, using one of the multivariate
>test statistics, such as Roy's greatest root test.
>Thanks very much,