Marcum Q-function

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

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

or as

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

with modified Bessel function $I_{M-1}$ 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

${\begin{aligned}Q_{M}(a,b)&=1-e^{-a^{2}/2}\sum _{k=0}^{\infty }\left({\frac {a^{2}}{2}}\right)^{k}{\frac {\gamma (M+k,{\frac {b^{2}}{2}})}{k!\Gamma (M+k)}}\\[6pt]&=1-e^{-a^{2}/2}\sum _{k=0}^{\infty }\left({\frac {a^{2}}{2}}\right)^{k}{\frac {P(M+k,{\frac {b^{2}}{2}})}{k!}}\end{aligned}}$

where $P(s,x)$ is the regularized Gamma function.

The Marcum Q-function is monotonic and log-concave.

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]