On the distribution of indefinite quadratic forms in Gaussian random variables

  • Authors:

  • Tareq Y. Al-Naffouri;Babak Hassibi

  • Affiliations:

  • Department of Electrical Engineering, King Fahd University of Petroleum & Minerals, Dhahran, Saudi Arabia;Department of Electrical Engineering, California Institute of Technology, Pasadena, CA

  • Venue:
  • ISIT'09 Proceedings of the 2009 IEEE international conference on Symposium on Information Theory - Volume 3
  • Year:
  • 2009

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Abstract

In this work, we propose a transparent approach to evaluating the CDF of indefinite quadratic forms in Gaussian random variables and ratios of such forms. This quantity appears in the analysis of different receivers in communication systems and in various applications in signal processing. Instead of attempting to find the pdf of this quantity as is the case in many papers in literature, we focus on finding the CDF. The basic trick that we implement is to replace inequalities that appear in the CDF calculations with the unit step function and replace the latter with its Fourier transform. This produces a multi-dimensional integral that can be evaluated using complex integration. We show how our approach extends to nonzero mean Gaussian real/complex vectors and to the joint distribution of indefinite quadratic forms.