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A series representation for multidimensional Rayleigh distributions
Author(s) -
Wiegand Martin,
Nadarajah Saralees
Publication year - 2018
Publication title -
international journal of communication systems
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.344
H-Index - 49
eISSN - 1099-1131
pISSN - 1074-5351
DOI - 10.1002/dac.3510
Subject(s) - computer science , covariance matrix , series (stratigraphy) , covariance , representation (politics) , algorithm , computation , mathematics , simple (philosophy) , expression (computer science) , quadrature (astronomy) , signal processing , statistics , digital signal processing , paleontology , philosophy , electrical engineering , epistemology , politics , political science , computer hardware , law , biology , programming language , engineering
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.