Computing the Largest Eigenvalue Distribution for Non-central Wishart Matrices

Abstract

Eigenvalues of the Gram matrix formed from received data frequently appear in sufficient detection statistics for multi-channel detection with Generalized Likelihood Ratio (GLRT) and Bayesian tests. In a frequently presented model for passive radar, in which the null hypothesis is that the channels contain only complex white Gaussian noise and the alternative hypothesis is that the channels contain a common rank-one signal in the mean, the GLRT statistic is the largest eigenvalue λ 1 of the Gram matrix formed from data, which has a Wishart distribution. Although exact expressions for the distribution of λ 1 are known under both hypotheses, numerically calculating values of these distribution functions presents difficulties in cases where the dimension of the data vectors is large. Following on recent work addressing this issue under the null hypothesis, this paper presents a method to calculate values of this distribution under the alternative hypothesis, allowing tractable computation of receiver operating characteristic curves.