- #1
rhz
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Distribution of difference of two second degree non central chi squared random variables.
This problem can be cast as an indefinite quadratic form for which there are a number of general numerical techniques to determine the CDF. Alternatively, it may be written as a linear combination of independent chi squared random variables.
I'm wondering if there are any simplifications when the linear combination takes the form
of a simple difference of two second degree non-central chi squared distributions.
Context: Consider a two dimensional complex normal random vector x = [x1 x2]' ~ CN(u,R).
I am interested in the distribution of:
|x1|^2 - |x2|^2
Thanks!
This problem can be cast as an indefinite quadratic form for which there are a number of general numerical techniques to determine the CDF. Alternatively, it may be written as a linear combination of independent chi squared random variables.
I'm wondering if there are any simplifications when the linear combination takes the form
of a simple difference of two second degree non-central chi squared distributions.
Context: Consider a two dimensional complex normal random vector x = [x1 x2]' ~ CN(u,R).
I am interested in the distribution of:
|x1|^2 - |x2|^2
Thanks!