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On some properties of the Marcum Q function

Article  in  Integral Transforms and Special Functions · March 2012


DOI: 10.1080/10652469.2011.573184

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Dorodnicyn Computing Centre of RAS
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On some properties of the Marcum Q


function
a
Yu A. Brychkov
a
Dorodnicyn Computing Center of the Russian Academy of
Sciences , Vavilov Street 40, Moscow , 119333 , Russia
Published online: 16 May 2011.

To cite this article: Yu A. Brychkov (2012) On some properties of the Marcum Q function, Integral
Transforms and Special Functions, 23:3, 177-182, DOI: 10.1080/10652469.2011.573184

To link to this article: http://dx.doi.org/10.1080/10652469.2011.573184

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Integral Transforms and Special Functions
Vol. 23, No. 3, March 2012, 177–182

On some properties of the Marcum Q function


Yu A. Brychkov*
Dorodnicyn Computing Center of the Russian Academy of Sciences, Vavilov Street 40, Moscow
119333, Russia
Downloaded by [Mr Yu A. Brychkov] at 22:04 16 August 2014

(Received 1 March 2011 )

A closed expression for Qν (a, b) with integer ν in terms of a confluent Appell function, differentiation
formulas with respect to a and b, generating functions and other relations are given.

Keywords: special functions; Marcum Q function; differentiation formulas; generating functions; Appell
function

Mathematics Subject Classification: 33E20

The generalized Marcum Q function is defined by the integral


 ∞
1
x ν e−(x +a 2 )/2
2
Qν (a, b) = Iν−1 (ax) dx, (1)
a ν−1 b

where Iν (z) is the modified Bessel function, b, Re ν ≥ 0. If b > 0, the integral converges for
any ν. Applications include the detection theories for radar systems, wireless communications and
error performance analysis of digital communication problems dealing with partially coherent,
differentially coherent, and non-coherent detections. The main goal of papers devoted to the
Marcum function is constructing appropriate algorithms for its numeric evaluation (for a survey,
see, e.g. [7]).
In this note, we give a closed expression for Qν (a, b) in the most interesting case of integer
m in terms of a known confluent Appell function 3 (b; c; w, z), differentiation formulas with
respect to a and b and two generating functions.
Starting from (1) and using integration by parts, we easily find the relation
 ν−1
b
e−(a +b )/2 Iν−1 (ab),
2 2
Qν−1 (a, b) = Qν (a, b) − (2)
a

*Email: Yua@rambler.ru

ISSN 1065-2469 print/ISSN 1476-8291 online


© 2012 Taylor & Francis
http://dx.doi.org/10.1080/10652469.2011.573184
http://www.tandfonline.com
178 Yu A. Brychkov

which is valid for any positive ν. This formula immediately gives more general results
 ν n  
b a k
e−(a +b )/2
2 2
Qν−n (a, b) = Qν (a, b) − Iν−k (ab), (3)
a k=1
b
 ν n−1  k

b b
e−(a +b )/2
2 2
Qν+n (a, b) = Qν (a, b) + Iν+k (ab). (4)
a k=0
a

The equality (3) can be used for the definition of Qν (a, b) for Re ν < 0 if b = 0.
For a = b, we have [6]
1
Q1 (a, a) = [1 + e−a I0 (a 2 )],
2

2
and by virtue of (3) and (4), we obtain
Downloaded by [Mr Yu A. Brychkov] at 22:04 16 August 2014

1  n
[1 + e−a I0 (a 2 )] + e−a
2 2
Qn+1 (a, a) = Ik (a 2 ), (5)
2 k=1

1  n
[1 + e−a I0 (a 2 )] − e−a
2 2
Q−n (a, a) = Ik (a 2 ), (6)
2 k=0

for any non-negative integer n.


Two general formulas for non-negative half-integer ν are given in [1]
     n  k−1/2
1 b−a b+a −(a 2 +b2 )/2 b
Qn+1/2 (a, b) = erfc √ + erfc √ +e Ik−1/2 (ab),
2 2 2 k=1
a
(7)
erfc(z) is the complementary error function, and

Qn+1/2 (a, b)
    
1 b−a b+a
= erfc √ + erfc √
2 2 2
 
1  b  (k + p − 1)!
n k k−1
(2ab)−p [(−1)p e−(a−b) /2 + (−1)k e−(a+b) /2 ].
2 2
+ √
b 2π k=1 a p=0
p!(k − p − 1)!
(8)
For negative half-integer ν, we have from (3)

Q1/2−n (a, b)
     n  
1 b−a b+a a k−1/2
− e−(a +b )/2
2 2
= erfc √ + erfc √ I1/2−k (ab). (9)
2 2 2 k=1
b

A representation for integer ν. The following formulas are valid for non-negative integer n :
  n  k
a 2 a 2 b2 b
Qn+1 (a, b) = e−(a +b )/2 3 1; 1; , + e−(a +b )/2
2 2 2 2
Ik (ab), (10)
2 4 k=1
a
  n  
a 2 a 2 b2 a k
Q−n (a, b) = e−(a +b )/2 3 1; 1; , − e−(a +b )/2
2 2 2 2
Ik (ab), (11)
2 4 k=0
b
Integral Transforms and Special Functions 179

where 3 (b; c; w, z) is the confluent Appell function (see, e.g. [2], 2.5.7). Due to (3) and (4), we
have to prove only the relation

 
−(a 2 +b2 )/2 a 2 a 2 b2
Q1 (a, b) = e 3 1; 1; , . (12)
2 4

From the expansion [4]

∞  
a k
Qm (a, b) = e−(a +b2 )/2
2
Ik (ab),
k=1−m
b
Downloaded by [Mr Yu A. Brychkov] at 22:04 16 August 2014

it follows by expanding the Bessel function in power series that

∞  
  ∞
∞   k  2p
−(a 2 +b2 )/2 a k −(a 2 +b2 )/2 1 a2 ab
Q1 (a, b) = e Ik (ab) = e
k=0
b k=0 p=0
p!(k + p)! 2 2
∞ 
 ∞
(1)k (a 2 /2)k (a 2 b2 /4)p
= e−(a +b2 )/2
2
, (13)
k=0 p=0
(1)k+p k!p!

and the formula (12) is proved since

∞  ∞
(b)k w k zp
3 (b; c; w, z) = .
k=0 p=0
(c)k+p k!p!

Differentiation with respect to a. From (1) we have

 ∞
√ √
x ν+1 e−x /2 −ν/2
2
ea/2 Qν ( a, b) = a Iν ( ax) dx.
b

Differentiating with respect to a and making use of the formula (see, e.g. [3], 1.13.1.5)

dn −ν/2 √  x n √
n
[a I ν ( ax)] = a −(ν+n)/2 Iν+n ( ax), (14)
da 2

we get
 ∞
dn a/2 √ a −(ν+n)/2 √
x n+1 e−x
2
[e Q ν ( a, b)] = /2
Iν+n ( ax) dx,
da n 2n b

and finally,
dn a/2 √ √
[e Qν ( a, b)] = 2−n ea/2 Qν+n ( a, b), (15)
da n

where n is a non-negative integer.


180 Yu A. Brychkov


For Qν ( a, b) we have

n   n−p −a/2
dn √ dn −a/2 a/2 √ n d e dp a/2 √
Q ν ( a, b) = [e e Q ν ( a, b)] = [e Qν ( a, b)]
da n da n p=0
p da n−p da p

n  
 n (−1)n−p e−a/2 √
= 2−p ea/2 Qν+p ( a, b),
k=0
p 2n−p

and finally,

n  
dn √ −n p n

[Q ( a, b)] = (−2) (−1) Qν+p ( a, b). (16)
Downloaded by [Mr Yu A. Brychkov] at 22:04 16 August 2014

n ν
da p=0
p

Now we can make use of the relation [3], 1.1.1.1,

[n/2]
dn f (z2 )  (2z)n−2k
= n! f (n−k) (z2 ) (17)
dz n
k=0
k!(n − 2k)!

to get the differentiation formula

[n/2]
 (−2a 2 )−k  n−k  
dn p n−k
Q ν (a, b) = n!(−a) n
(−1) Qν+p (a, b). (18)
da n k=0
k!(n − 2k)! p=0 p

Differentiation with respect to b. From (1) we have

dn+1 √ e−a /2 dn −b/2 (ν−1)/2


2

Q ν (a, b) = − [e b I ν−1 (a b)].
dbn+1 2a ν−1 dbn

Using again the relation (14), we obtain after simplifications


√ ν−1 n   
dn+1 √ b  n a p √
Qν (a, b) = (−2)−n−1 e−(a +b)/2
2

n+1
−√ Iν−p−1 (a b), (19)
db a p=0
p b

for any non-negative n. Application of the formula (17) gives

k−1  
n!a 1−ν −(a 2 +b2 )/2   k − 1  a p
n
dn (−2b2 )k
Q ν (a, b) = e − Iν−p−1 (ab),
dbn 2n bn−ν+1 k=[n/2]
(n − k)!(2k − n)! p=0 p b
(20)

for any positive n.


Integral Transforms and Special Functions 181

Generating functions. For derivation of the first generating function, we use the formula [5],
5.8.3.2,
∞
t m Im (z) = e(t+1/t)z/2 .
m=−∞

Starting from the definition (1) with ν = m + 1, we obtain for |t| < 1

  ∞ ∞ 
 
tx m
x e−(x +a 2 )/2
2
t m+1 Qm+1 (a, b) = t Im (ax) dx
m=−∞ b m=0
a
 ∞
t
x e−(x +a 2 )/2 [tx/a+a/(tx)]ax/(2a)
e(b t+a /t−a −b )/2 ,
2 2 2 2 2
=t e dx =
b 1−t
Downloaded by [Mr Yu A. Brychkov] at 22:04 16 August 2014

and finally,

 t
t m Qm (a, b) = e−(a +b2 )/2
2 2 2
e(b t+a /t)/2 , |t| < 1. (21)
m=−∞
1−t

The change of the orders of summation and integration is valid since Im (ax) decreases fast as
m → ∞. To get another generating function, we make use of the formulas [3], 6.6.1.1 and 5.8.3.4,

 tm zμ −z
γ (k + μ, z) = e 3 (1; μ + 1; z, tz) (22)
m=0
m!(μ)m μ

and
∞
tm
Im (z) = I0 ( z2 + 2tz). (23)
m=0
m!

Besides, we will need the relation


 ∞  ∞ ∞
−x 2 /2 (c/2)2m x 2m
x e−x
2
xe I0 (cx) dx = /2
dx
b b m=0
(m!)2
∞ 
(c/2)2m ∞ 2m+1 −x 2 /2
= x e dx
m=0
(m!)2 b
∞  
−c2 /2 (c2 /2)m b2
=e − γ m + 1, . (24)
m=0
(m!)2 2

From the definitions (1) and (23), we obtain

∞
a 2m t m
Qm+1 (a, b)
m=0
m!
 ∞ ∞
−a 2 /2 a 2m t m x m
x e−x
2
=e /2
Im (ax) dx
b m=0
m!
 ∞ √
= e−a x e−x
2 2
/2 /2
I0 (ax 1 + 2t) dx.
b
182 Yu A. Brychkov

Using (22) and (24), we derive that

∞  
tm b2 −(a 2 +b2 )/2 b2 b2 (a 2 + 2t)
Qm+1 (a, b) = et − e 3 1; 2; , .
m=0
m! 2 2 4

Applying the shift formula (2), we finally obtain

∞   
tm −(a 2 +b2 )/2 b2 b2 b2 (a 2 + 2t)
Qm (a, b) = e − e
t
I0 (b a + 2t) + 3 1; 2; ,
2 . (25)
m=0
m! 2 2 4

References
Downloaded by [Mr Yu A. Brychkov] at 22:04 16 August 2014

[1] A. Annamalai, C. Tellambura, and J. Matyjas, A new twist on the generalized Marcum Q-function QM (a, b) with
fractional-order M and its applications, IEEE Trans. Commun. 48(3) (2009), pp. 359–366.
[2] H. Bateman and A. Erdélyi, Higher Transcendental Functions, Vol. 1, McGraw-Hill, New York, 1953.
[3] Yu.A. Brychkov, Handbook of Special Functions: Derivatives, Integrals, Series and Other Formulas, Chapman &
Hall/CRC, Boca Raton, FL, 2008.
[4] C.W. Helstrom, Statistical Theory of Signal Detection, Pergamon, New York, 1960.
[5] A.P. Prudnikov, Yu.A. Brychkov, and O.I. Marichev, Integrals and Series, Vol. 2, Special Functions, Gordon and
Breach, New York, 1986.
[6] M. Schwartz, W.R. Bennett, and S. Stein, Communication Systems and Techniques, McGraw-Hill, New York, 1966.
[7] G.W. Weinberg, Stochastic Representations of the Marcum Q-Function and Associated Radar Detection Probabilities,
Defence Science and Technology Organisation, Edinburgh, SA, 2006.

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