Marcum Q-function

In statistics, the Marcum-Q-function $Q_{M}$ is defined as

${\displaystyle Q_{M}(a,b)=\int _{b}^{\infty }x\left({\frac {x}{a}}\right)^{M-1}\exp \left(-{\frac {x^{2}+a^{2}}{2}}\right)I_{M-1}\left(ax\right)dx}$

$Q_{M}$ is also defined as

${\displaystyle Q_{M}(a,b)=\exp \left(-{\frac {a^{2}+b^{2}}{2}}\right)\sum _{k=1-M}^{\infty }\left({\frac {a}{b}}\right)^{k}I_{k}\left(ab\right)}$

with modified Bessel function ${\displaystyle I_{M-1}}$ of order M − 1. The Marcum Q-function is used for example as a cumulative distribution function (more precisely, as a survivor function) for noncentral chi, noncentral chi-squared and Rice distributions.

For non-integer values of M, the Marcum Q function can be defined as^[1]

${\displaystyle Q_{M}(a,b)=1-e^{-{\frac {a^{2}}{2}}}\sum _{k=0}^{\infty }\left(-{\frac {a^{2}}{2}}\right)^{k}{\frac {\gamma (M+k,{\frac {b^{2}}{2}})}{k!\Gamma (M+k)}}}$

The Marcum Q-function is monotonic and log-concave.^[2]

References

• Marcum, J. I. (1950) "Table of Q Functions". U.S. Air Force RAND Research Memorandum M-339. Santa Monica, CA: Rand Corporation, Jan. 1, 1950.
• Nuttall, Albert H. (1975): Some Integrals Involving the Q_M Function, IEEE Transactions on Information Theory, 21(1), 95-96, ISSN 0018-9448
• Weisstein, Eric W. Marcum Q-Function. From MathWorld—A Wolfram Web Resource.

1. A. Annamalai, C. Tellambura and John Matyjas (2009) A New Twist on the Generalized Marcum Q-Function Q_M(a, b) with Fractional-Order M and Its Applications., 2009 6th IEEE Consumer Communications and Networking Conference, 1-5, ISBN 978-1-4244-2308-8
2. Yin Sun, Árpád Baricz, and Shidong Zhou (2010) On the Monotonicity, Log-Concavity, and Tight Bounds of the Generalized Marcum and Nuttall Q-Functions. IEEE Transactions on Information Theory, 56(3), 1166-1186, ISSN 0018-9448