RESEARCH ARTICLE
A series representation for multidimensional Rayleigh distributions
Summary
The Rayleigh distribution is of paramount importance in signal processing and many other areas, yet an expression for random variables of arbitrary dimensions has remained elusive. In this note, we generalise the results of Beard and Tekinay for quadrivariate random variables to cases of unconstrained order and provide a simple algorithm for evaluation. The assumptions of cross‐correlation between in‐phase and quadrature, as well as nonsingularity of the covariance matrix, are retained throughout our computations.
Citing Literature
Number of times cited according to CrossRef: 2
- Martin Wiegand, Saralees Nadarajah, New Generalised Approximation Methods for the Cumulative Distribution Function of arbitrary multivariate Rayleigh Random Variables, Signal Processing, 10.1016/j.sigpro.2020.107664, (107664), (2020).
- Martin Wiegand, Saralees Nadarajah, Series approximations for Rayleigh distributions of arbitrary dimensions and covariance matrices, Signal Processing, 10.1016/j.sigpro.2019.06.035, (2019).
