Distributions involving norms of correlated Gaussian vectors

Miller, K. S.

doi:10.1090/qam/99953

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 | References | Additional Information

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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