The envelope of a complex Gaussian random variable
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Publication:6435391
arXiv2305.03038MaRDI QIDQ6435391FDOQ6435391
Publication date: 4 May 2023
Abstract: This article explicitly characterizes the distribution of the envelope of an elliplical Gaussian complex vector, or equivalently, the norm of a bivariate normal random vector with general covariance structure. The probability density and cumulative distribution functions are explicitly derived. Some properties of the distribution, specifically, its moments and moment generating functions, are also derived and shown to exist. These functions and expressions are exploited to also characterize the special case distributions where the bivariate Gaussian mean vector and covariance matrix have some simple structure.
Probability distributions: general theory (60E05) Characteristic functions; other transforms (60E10)
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