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arxiv 1311.0681 v1 pith:V6BQMJRP submitted 2013-11-04 cs.MS math.CA

Computation of the Marcum Q-function

classification cs.MS math.CA
keywords closedifferentfunctionsmarcumtimesaccuracyalgorithmcomputing
verification ladder T0 review T1 audit T2 compute T3 formal T4 reserved
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Methods and an algorithm for computing the generalized Marcum $Q-$function ($Q_{\mu}(x,y)$) and the complementary function ($P_{\mu}(x,y)$) are described. These functions appear in problems of different technical and scientific areas such as, for example, radar detection and communications, statistics and probability theory, where they are called the non-central chi-square or the non central gamma cumulative distribution functions. The algorithm for computing the Marcum functions combines different methods of evaluation in different regions: series expansions, integral representations, asymptotic expansions, and use of three-term homogeneous recurrence relations. A relative accuracy close to $10^{-12}$ can be obtained in the parameter region $(x,y,\mu) \in [0,\,A]\times [0,\,A]\times [1,\,A]$, $A=200$, while for larger parameters the accuracy decreases (close to $10^{-11}$ for $A=1000$ and close to $5\times 10^{-11}$ for $A=10000$).

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