Quarterly of Applied Mathematics

Quarterly of Applied Mathematics

Online ISSN 1552-4485; Print ISSN 0033-569X



Distributions involving norms of correlated Gaussian vectors

Author: K. S. Miller
Journal: Quart. Appl. Math. 22 (1964), 235-243
DOI: https://doi.org/10.1090/qam/99953
MathSciNet review: QAM99953
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Abstract: The norm of a Gaussian vector is called a Rayleigh random variable. We compute various first and higher order probability density functions of products and quotients of correlated Rayleigh variates. Moments of these distributions are also calculated. The main results are summarized in Section 2 below. Extensive use is made of formulas involving special functions. These identities enable us to obtain the desired results directly and efficiently.

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DOI: https://doi.org/10.1090/qam/99953
Article copyright: © Copyright 1964 American Mathematical Society

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