Exact distributions of envelopes of sums of stochastic sinusoids with

general random amplitudes and phases

Y. Maghsoodi
Scinance Analytics, www.ScinanceAnalytics.com,
ym@ScinanceAnalytics.com,Tel: +44(0)2380487589
Copyright Y. Maghsoodi
This version November 2004

Abstract
I consider a model used in many communication systems where the sum of n stochastic sinusoidal
signals, each with general random amplitudes as well as phase angles is present. The exact probability
distribution of the resulting signal’s amplitude is of particular interest in many important applications,
however the general problem has remained open. I use probabilistic methods to prove new formulae for
the Exact General Envelope Density (EGED), in terms of any given general joint density of all the random
variables involved. New exact probability densities of cases of interest follow from the general formulae.
The resultant amplitude distribution is also obtained when a the signal comprises of a single sinusoidal
sum corrupted by a Gaussian noise. Further, I derive a new general formula for the resultant signal’s
Amplitude Characterisitc Function (ACF) and the Exact Envelope Characteristic function EECF. The
characteristic function is transformed to obtain exact formulae for the pdf (probability density function).
The Fourier transform of the ACF formula is further used to derive a general formula for the exact peak
resultant amplitude in the presence of a Gaussian noise. In important cases interest it is shown that
it is possible to represent the amplitude pdf in terms of the Fourier transform of Bessel functions and
thus derive simpler exact expressions. I Consider two signals of sinusoidal sums corrupted by a Gaussian
noise, for which previously the Ricean envelope density had only been verified for the very special case
where n = 1 and the phase is uniform and independent of amplitude. Here a new formula for the
exact density of the envelope of noisy stochastic sinusoids (EDENSS) is presented, which leads to the
generalization of Ricean envelope density (GRED) formula under the most general conditions, namely
n ≥ 1 signals, dependent amplitudes and phases having an arbitrary joint pdf. The power of our EECF
and FT methods are further demonstrated by their ability to give an alternative derivation of the EGED
formula.
Keywords: Stochastic sinusoids, sums of sinusoids, envelope distribution, analytical formulae, charater-
istic function inversion, generalised Ricean distribution, Bessel functions.

1 Introduction
In many systems the received signal can be expressed as

n
r(t) = Ai cos(ωt + φi ). (1)
i=1

In general (A1 , A2 , ..., An ), and (φ1 , φ2 , ..., φn ), may all be random variables, with a given joint probability
distribution function, which is the framework treated in this paper. In specific applications however, the
statistical properties of these variables, and the value of n, depend on the particular model and the application
considered. In evaluation of the performance of communication systems with received signals such as r(t) in
(1), the knowledge of the the pdf (probability density function) of the resultant amplitude or envelope is of
crucial importance. Rice [1] stated that the cdf (cumulative distribution function) of the envelope of some
special cases of (1) may be represented by a Fourier-Bessel Transform. Kluyver [2] considered the case of n

1
randomly phased sine waves in the absence of noise and gave a corresponding equation for the special case in
[1]. Simon [3] considered a special recursive case of (1) without noise, where all the amplitudes are fixed, and
each new phase angle is assumed to be equal to the resultant of all the previous ones, plus an independent
uniformly distributed angle. Thus he deduced a recursive formula for the pdf of the squared envelope in this
special case. Helstrom [4] derived the amplitude pdf of the sum of two sinusoidals of constant amplitude,
affected by a Gaussian noise, and later developed a numerical scheme to approximate the cdf of the envelope
when n > 10, in the presence of a narrow band Gaussian noise [5].
In this paper, I consider model (1), and while allowing all the amplitudes as well as phases to be random,
having a given general joint pdf, I derive two exact general formulae for the probability distrbution of the
envelope. These are proved in Theorems 1 and 2. The presented formulae will be solely in terms of integrals
of any given general joint probability density of all the amplitudes and phases in the sum. Examples of the
implementations of the general formulae, yield interesting new exact densities of some important cases of
interest.
The paper is organized as follows. In section II, the Sinusoidals Addition Theorem (SAT), presents the
formulae for the resultant amplitude and phase angle of sums of sinusoidals. Allowing for random amplitudes
and phase angles in Theroem 1, I derive a new formula for the exact cdf of the resultant amplitude, in terms of
the joint pdf of the amplitudes and the tangents of the half phase angles. Two examples of the implementation
of this formula will follow. In section III, Envelope Separation Theorem (EST) presents a recursive formula
for the envelopes, followed by Theorem 2 which presents a new Exact General Amplitude Density (EGAD)
formula for the pdf of the resultant amplitude, in terms of the given joint pdf of the amplitudes and the
phase angles themselves.
In section 5, the approach is based on characteristic function (CF) and Fourier transformation methods
(FT). Here I apply the SAT and EST theorems above, to derive exact formulae for the Amplitude Char-
acteristic Function (ACF) in Thereom (5.1). I then show that in important cases of interest the problem
of inversion of the CF is equivalent to Fourier transformation of Bessel functions. This leads to simpler
new exact expressions for the desired amplitude pdfs. In section 5.2 I apply the ACF formula to deduce
a general formula for the exact pdf of the peak amplitude in the presence of a Gaussian noise. In section
5.3 I consider two signals of sinusoidal sums corrupted by a Gaussian noise, for which previously the Ricean
envelope density had only been verified for the very special case where n = 1 and the phase was uniform
and independent of amplitude. Here a new formula for the exact density of the envelope of noisy stochastic
sinusoids (EDENSS) is presented, which leads to the generalization of Ricean envelope density (GRED)
formula under the most general conditions, namely n ≥ 1 signals, dependent amplitudes and phases having
an arbitrary joint pdf. In section 5.4 I further illustrate the power of ACF formulae by presenting a new
alternative proof of the EGAD formula above, which is solely based on the ACF formula. Some mathematical
proofs are given in the appendix.

2 New formulae for the envelope and its cdf via half-phase tan-
gents
In this section I assume that the joint pdf of all the amplitudes and the tangents of all the half phase angles
of model (1.1) is given. The use of this joint pdf is more convenient here due to the range (−∞, ∞) of the
tangent. There is no loss of generality in this assumption, since this joint pdf can always be obtained from
that of the amplitudes and the phase angles themselves by suitable transformations. In what follows we shall
denote by |A| the Euclidean norm of the vector (A1 , ..., An ).

Theorem 1 (Sinosoidals Addition Theorem (SAT) ) Given the identity :


n
Ai cos(ωt + φi ) = Bn cos(ωt + θn ), t ≥ 0 (2)
i=1

where Ai ∈ (−∞, ∞) and φi ∈ [−π, π], there exists a unique solution of (2) for {Bn , θn } which is
independent of ω and t and is given by :

n−1
Bn2 = |A|2 + 2 Aj Ak cos (φj − φk ) (3)
n≥j>k≥1

2
 n
Ai sin (φi )
θn = tan−1 ni=1 (4)
i=1 i cos (φi )
A
where θn can be uniquely chosen such that Bn is always positive.

It follows from formula (3) ( see also (15) below that if φn can take all possible values in [−π, π], then

|Bn−1 − |An || ≤ Bn ≤ Bn−1 + |An |. (5)

Hence, I can have a recursion for the minimum and maximum possible values of Bn , in terms of those of
Bn−1 , which I denote by mn and Mn respectively. In each specific application the values of mn and Mn
would strictly depend on the specific range of the values of Ai and φi for i = 1, 2, ..., n, however the above
inequalities would determine mi and Mi for i = 1, 2, .., n recursively in each case. For example when A1 and
A2 are constants, B1 = |A1 |, and M2 = |A1 | + |A2 | and m2 = ||A1 | − |A2 ||, and so on.
In what follows unless otherwise specified, upper case letters such as A1 and T1 will denote random vari-
ables and lower case letters such as a1 and t1 will represent their corresponding possible values. In addition,
bold-face letters such as A will denote vectors with elements in regular fonts such as A = (A1 , ..., An ), and
da will denote da1 da2 ...dan and so on. Further, T̄ and t̄ will denote the truncated vectors (T1 , ..., Tn−1 ) and
(t1 , ..., tn−1 ) respectively.

Theorem 2 (The envelope pdf in terms of half-phase tangents) Consider the sum of n stochastic
sinusoidals on the LHS of (2), with Ai ∈ (−∞, ∞), and φi ∈ [−π, π], random variables with a given general
joint pdf fA,T (a, t)  fA1 ...An ,T1 ...Tn (a1 , ..., an , t1 , ..., tn ), where Ti  tan(φi /2), i = 1, 2, · · · , n. Then the cdf
of the resultant amplitude Bn is given by
 ∞  ∞  b̄n  ∞  ∞  b̄n  ∞
 
P (Bn ≤ bn ) = da dt̄ dtn fA,T (a, t) + da dt̄ + dtn fA,T (a, t)
∞ −∞ ān 
∞ −∞ −∞ ān
a>0, ΔQ >0 a<0, ΔQ >0

 ∞  ∞
+ da dt̄fA,T̄ (a, t̄) mn ≤ b n ≤ M n (6)
∞ −∞ 
a < 0, ΔQ <0

 2ai ti  ai (1−t2i )
where ΔQ  4a2n S̄n2 − a(In + 2an C̄n ), S̄n  n−1
i=1 1+t2i , C̄n  n−1
i=1 1+t2i
, a  In − 2an C̄n
n  (1+t ) 2
In = i=1 a2i + k̄n − b2n , n−2 a a t
k̄n = 2 (n−1)≥j>k≥1 1+t2 1+t2 , ān , b̄n  [−2an S̄n ± ΔQ ]/a
j k j k
( j )( k )
and the sets below the integrals in (6) determine the regions of integration within the space {a, t̄} =
{a1 , ...an , t1 , ..., tn−1 }.

Example 1 As an example of the implementation of formula (6) assume that n = 2, A1 = A2 = A, a

constant, and φ1 and φ2 are independently uniformly distributed in (−π, π). It can then be easily deduced
that the cdf FTi (ti ) and the pdf fTi (ti ) of Ti are respectively given by :
1 −1 1
FTi (ti ) = π [tan (ti ) + π2 ] and fTi (ti ) = π(1+ti )2 ti ∈ (−∞, ∞), i = 1, 2.

Application
m of Theorem 1 immediately gives ΔQ = b22 (4A2 − b22 ) which is always positive since b2 ∈ (0, 2|A|)
and a = [(4A2 − b22 )t21 − b22 ]/(1 + t21 ). Hence,
  b̄2   b̄2  ∞  
P (B2 ≤ b2 ) = dt1 dt2 fT1 (t1 )fT2 (t2 ) + dt1 + dt2 fT1 (t1 )fT2 (t2 )
{a>0} ā2 {a<0} −∞ ā2
 −1 −1  −1 
1 tan (b̄2 ) − tan (ā2 ) 1 tan (b̄2 ) − tan−1 (ā2 ) 1 1
= 2 dt1 + 2 dt1 + dt1
π |t1 |>α 1 + t21 π |t1 |<α 1 + t21 π |t1 |<α 1 + t21
(7)
√
−4A2 t1 /(1+t21 )± ΔQ
where ā2 , b̄2 = a , and α = √ b22 2 is the root of a = 0. Integrating the first two integrands
4A −b2
by parts, whilst noting the singular discontinuities of ā2 and b̄2 , at t1 = ±α, and the fact that
ā (1 + ā2 )−1 = b̄ (1 + b̄2 )−1 = (1 + t21 )−1
I obtain :

3
 2 b2
P (B2 ≤ b2 ) = tan−1 (8)
π 4A2 − b22
which after differentiation gives the pdf of the amplitude

√ 2 0 ≤ b2 ≤ 2|A|
fB2 (b2 ) = π 4A2 −b22 . (9)
0 otherwise

Example 2 Assume that in example 1 above, φ1 and φ2 are dependently distributed with joint pdf :
1
f (φ1 , φ2 ) = 3 (φ1 + φ2 ) 0 ≤ φi ≤ π (10)
π
It can easily be verified that the joint pdf of the corresponding Ti random variables is :

4(tan−1 t1 + tan−1 t2 )
fT1 ,T2 (t1 , t2 ) = 0 ≤ ti < ∞ (11)
π 3 (1 + t21 )(1 + t22 )

Then, in this case formula (6) above reduces to :

    
b̄+
2 b̄+
2 ∞ 
P (B2 ≤ b2 ) = dt1 dt2 fT1 ,T2 (t1 , t2 ) + dt1 + dt2 fT1 ,T2 (t1 , t2 ) (12)
{t1 >α} ā+
2 {0<t1 <α} 0 ā+
2


where X + = maxt1 (X, 0), and the parameter values are as in example 1, except the joint pdf which is given
in (11). Calculating the integrals in (12), by methods very similar to example 1 above I obtain :
4
FB (b) = (tan−1 α)2 0 < b < 2|A| (13)
π2
Hence the amplitude pdf for this example is :

8 tan−1 α
fB (b) = 2
0 ≤ b ≤ 2|A| (14)
π (4A2 − b2 )

For A = 1, the pdf given in (14) is illustrated in Figure 1. The graph matches the pdf obtained from
simulation, which is also illustrated in Figure 1.

3 Envelope separation and its pdf in terms of the joint pdf

In this section I represent the pdf of the envelope, directly in terms of any given joint pdf of the amplitudes
and the phase angles in the stochastic sinusoidals sum. First the Envelope Separation Theorem (EST)
is presented, which gives a recursive formula for the nth envelope in terms of the (n − 1)st envelope and
resultant phase angle. The EST is then applied to derive a new Exact General Amplitude Distribution
(EGAD) formula for the envelope pdf in Theorem 2. The advantage of this formula over (6) is that the
regions of integration are explicitly determined, however the disadvantage in applications is the complications
of dealing with bounded regions of integrations compared to (−∞, ∞) of ti in (6).

Theorem 3 (Envelope Separation Theorem (EST) )

Bn2 = Bn−1
2
+ A2n + 2An Bn−1 cos(φn − θn−1 ). (15)

It can immediately be seen from (15) that, if I assume φi s to have a special form such that, {ξi  φi −
θi−1 , i = 2...n, θ1 = φ1 } is an IID (independent and identically distributed) sequence of random variables,
each term of which is also independent from all previous φi s, then clearly the sequence {Bi2 , i = 1, 2, ...}
becomes Markovian, and a simple recursive formula can be written for its distribution. This assumption
was made by Simon [3], where the ξi s were further assumed to be independently uniformly distributed.

4
Simon’s results can be derived as special cases of the results of this paper, however the assumptions are
very restrictive on the general model considered here as well as on the scope of practical applications, in
particular these assumptions imply that, each received sinusoidal adapts its phase to the resultant phase of
all the previous sinusoidals in a special way, which also leads to a particular joint law for the φi s. However,
at the expense of little extra complexity, I can discard these assumptions and still derive a recursive formulae
in the general independent case.

Theorem 4 (Exact General Amplitude Density (EGAD) via amplitudes and phases joint pdf ) Un-
der the assumptions of Theorem 1, if the random variables have a given general joint pdf fA,Φ (a, Φ) 
fA1 ...An ,Φ1 ...Φn (a1 , ..., an , φ1 , ..., φn ), the pdf of the resultant amplitude Bn is given by :

 −1
 
 2 2 2 2 2 2 
fBn (bn ) = 2bn E  4An Bn−1 − (bn − Bn−1 − An )  1{|Ψn |<1, Φn ∈Un } mn < b n < M n (16)

where the expectation is with respect to the given joint law fA,Φ , and 1{.} denotes the indicator of the set
{.} and
 2 2 
bn − Bn−1 − A2n
Ψn  , Un  {αi , |αi | < π, i = 1, ..., 4}, αi ∈ {θn−1 ± |cos−1 Ψn | ∓ 2kπ, k = 0, 1} (17)
2An Bn−1

Example 3 As an example of the implementation of formula (16) of EGAD Theorem, consider the
case n = 3, and suppose φi , i = 1, 2, 3 are independently uniformly distributed in [−π, π], and the Ai s are
constants. Then applying formula (16) I find that if I let
 2 
b3 − b̄22 − A23
fA,Φ (a, Φ) = (8π 3 )−1 , b̄22  |A|2 + 2A1 A2 cos(φ1 ), and ψ̄3  (18)
2A3 b̄2

then I obtain
2b3
π
π2 0
1{|ψ̄3 |<1} √ dφ1
m3 ≤ b 3 ≤ M 3
fB3 (b3 ) = 4A23 b̄22 −(b23 −b̄22 −A23 )2 . (19)
0 otherwise
Moreover, when Ai = 1, i = 1, 2, 3, the pdf (19) further simplifies to

 M̃2
2b3 √
π2
dφ1
0 ≤ b3 ≤ 3
fB3 (b3 ) = m̃2 4b̄22 −(b23 −b̄22 −1)2 (20)
0 otherwise
    
where in this case b̄22  2+2 cos(φ1 ), M̃2  cos−1 (b3 − 1)2 /2 − 1 ), and m̃2  cos−1 (min(b3 + 1, 2)2 /2 − 1).
Formula (20) can also be written in terms of the EllipticF and EllipticK functions whose numerical values
are well tabulated and coded,

4Ib3 EllipticK(P ) − EllipticF(1/P, P ) 0 ≤ b3 ≤ 1
fB3 (b3 ) = 2 U (21)
π EllipticK(P ) 1 < b3 ≤ 3

where
√ 1 1 U
I −1, U , V  (1 + b3 )−3/2 (3 − b3 )− 2 , P  (22)
|1 − b3 | (3 + b3 )(1 − b3 ) V

and  Q
1
EllipticF(Q, P ) = (1 − Q2 x2 )(1 − x2 )]− 2 dx, EllipticK(P ) = EllipticF(1, P ) (23)
0

and formulae (20)-(22) all give the required new amplitude pdf.

Example 4 As another example of application of EGAD Theorem, consider the n = 4 case of example
2. I find from formula (16) that if I let :

5
     b24 −b̄23 −A24
fA,Φ (a, Φ) = (16π 4 )−1 , b̄23 = |A|2 + 2 A1 A2 cos(φ1 ) + A2 A3 cos(φ2) + A1 A3 cos(φ2 − φ1 ) , ψ̄4 = 2A4 b̄3

(24)
then I obtain

π π
b4
2π 3 −π −π 1{|ψ̄4 |<1} √ dφ1 dφ2
m4 ≤ b 4 ≤ M 4
fB4 (b4 ) = 4A24 b̄23 −(b24 −b̄23 −A24 )2 . (25)
0 otherwise

The pdf (25) is also another hitherto undiscovered pdf. It is illustrated in Figure 3, for Ai = 1, i = 1, · · · , 4.
In similar fashions I can apply EGAD Theorem to derive the exact amplitude pdfs for all other values of n,
in terms of multiple integrals of order n − 2 of functions of the given parameters.

4 Amplitude distribution in the presence of noise

In this section I consider model (1) with equal angular frequencies, and assume that after filtering the noise
is tranformed into Z̄t , a zero mean Gaussian process with finite variance σ 2 . The latter assumption is
important since AWGN has infinite variance, hence infinite amplitude. Hence I have :

n
Sn (t) = Ai cos(ωt + φi ) + Z̄t = Bn cos(ωt + θn ) + Z̄t . (26)
i=1

Of particular interest is the pdf of the amplitude of Sn (t) at time points tp where the oscillatory term reaches
its peak. At these timesthe noise adds directly to the resultant amplitude and the amplitude of the noisy
resultant signal is Rn  Bn + Z̄tp .
 
Lemma 1 At the peaks of the resultant signal, the pdf of the noisy signal amplitude Rn = Bn + Z̄tp 
is given by:  rn −mn
2 z2
fRn (rn ) = √ e− 2σ2 fBn (rn − z)dz 0 ≤ rn < ∞ (27)
σ 2π rn −Mn
where fBn is now the known pdf of the noise free amplitude Bn .

By writing the dual of the convolution integral in (27) I find:

Corollary 1 An alternative representation of pdf of Rn can be written as :

 Mn
2 (rn −bn )2
fRn (rn ) = √ e− 2σ2 fBn (bn )dbn 0 ≤ rn < ∞ (28)
σ 2π mn

Example 5 Consider the pdf (20) of example 2. Application of formula (27) while using (20) gives the
pdf of the noisy resultant amplitude in this case :
 r3 −1 
4 z
− 2σ
2 M̄2
(r3 − z)dφ1 dz
fR3 (r3 ) = √ e 2 0 ≤ r3 < ∞ (29)
σ 2π r3 −3 0 π2 4b̄2 − ((r3 − z)2 − b̄22 − 1)2
2

 
where M̄2  cos−1 ((r3 − z − 1)2 /2 − 1).
Formula (29) is also a hitherto undiscovered noisy amplitude pdf, which can also solve filtering problems
as well as other applied problems such as error detection and siesmology. In similar ways, I can find the
required pdfs in other cases of interest.

6
5 Characterisitc functions and densities of sums of stochastic si-
nusoids
In this section I consider the sum of n stochastic sinusoidal signals with different random amplitudes and
phase angles. I apply the Sinusoidals Addition Theorem (SAT) and the Envelope Separation Theorem
(EST) to present a new general formula for the resultant signal’s Amplitude Characterisitc Function (ACF).
The characteristic function is transformed to obtain exact formulae for the pdf (probability density function).
The Fourier transform of the ACF formula is further used to derive a new general formula for the exact peak
resultant amplitude in the presence of a Gaussian noise. In important cases interest it is shown that it
is possible to represent the amplitude pdf in terms of the Fourier transform of Bessel functions and thus
derive simpler exact expressions. It is also shown that the above results also lead to the solution of the
important open problem of the exact envleope distribution of two sums of n noisy independent sinusoidal
signals. Moreover, in the general case, I further demonstrate the power of the ACF formula by deriving the
Exact General Amplitude Density (EGAD) formula presented above, solely by application of ACF formula.

In this section the approach is thus based on characteristic function (CF) and Fourier transformation methods
(FT). In section 2, I apply the SAT and EST theorems above, to derive exact formulae for the Amplitude
Characteristic Function (ACF) in Thereom (5.1). I then show that in important cases of interest the problem
of inversion of the CF is equivalent to Fourier transformation of Bessel functions. This leads to simpler new
exact expressions for the desired amplitude pdfs. Further, in section 5.a I apply the ACF formula to deduce
a genral formula for the exact pdf of the peak amplitude in the presence of a Gaussian noise. In section 4
I further illustrate the power of ACF formulae by presenting a new alternative proof of the EGAD formula
above, which is solely based on the ACF formula.

5.1 Characteristic function, amplitude density and Bessel functions

In this section I apply The SAT and EST formulae above to present a new formula (ACF Theroem ) for the
resultant Amplitude Characteristic Function, and the density as its Fourier transform . I then apply these
formulae directly to important cases of interest and show that the pdfs can be written in terms of Fourier
transforms of Bessel function of order zero, the calculation of which yield simpler forms for the exact desired
amplitude pdfs. In what follows unless otherwise specified, upper case letters such as X1 will denote random
variables and lower case letters such as x1 , will denote their possible values. Also bold-face letters such as A
will denote vectors with elements in regular fonts such as A = (A1 , ..., An ), and da will denote da1 da2 ...dan
and so on. Further, Φ̄ and Φ̄ will denote the truncated vectors (Φ1 , ..., Φn−1 ) and (φ1 , ..., φn−1 ) respectively.

Thereom 5 (Amplitude Characteristic function (ACF) and density) In addition to the assumptions and
notation of Theorems 1 and 2 above, further assume that all Ai ∈ (−∞, ∞) and φi ∈ [−π, π] are ran-

dom variables having a given general joint pdf fA,Φ (a, Φ) = fA1 ...An ,Φ1 ...Φn (a1 , ..., an , φ1 , ..., φn ), Then the
characteristic function of the resultant amplitude Bn is given by :
 ∞  π
 
ΦBn2 (t) = da dΦ exp it b2n−1 + a2n + 2an bn−1 cos(φn − θn−1 ) fA,Φ (a, Φ) (30)
−∞ −π

where bn−1 represents the possible values of Bn−1 given by formula (3). Further the pdf of Bn is given by :

bn ∞ −ib2n t
fBn (bn ) = e ΦBn2 (t)dt (31)
π −∞

2
Proof By definition of the characteristic function I have ΦBn2 (t) = E{eitBn }. Formula (30) then follows
from using (15) and writing the RHS in terms of integrals with respect to the joint pdf. Formula (31) follows
from the fact that pdf is the Fourier transform of the characteristic function, and that fBn (bn ) = 2bn fBn2 (b2n ),
and the proof is complete.

Example 6 As an example of the implementation of the characteristic function method assume that n = 2,
A1 and A2 are constants and φ1 and φ2 are independently uniformly distributed in [−π, π]. It then follows

7
from formulae (30) and (31) that the pdf of the amplitude B2 is given by :
  π
b2 ∞ 2 2 2
fB2 (b2 ) = 2 dt e−it(b2 −A1 −A2 ) exp [2itA1 A2 cos(φ1 )] dφ1
π −∞ 0

b2 ∞ 2 2 2
= dt e−it(b2 −A1 −A2 ) J0 (2A1 A2 t) (32)
π −∞

where J0 is the Bessel function of order zero. For any real constant C, it is known that the Fourier transform
of this Bessel function is given by :
 ∞ 
1 √ 1 0 < b < |C|
−ib
F {J0 (Ct)}(b) = dt e J0 (Ct) = π C 2 −b2 (33)
2π −∞ 0 otherwise

Hence it follows immediately from (32) and (33) that the pdf of the amplitude is given by

2b2
√ ||A1 | − |A2 || < b2 < |A1 | + |A2 |
fB2 (b2 ) = π 4A21 A22 −(b22 −A21 −A22 )2 (34)
0 otherwise

Example 7 As another example consider the case n = 3, of example 2. Then again by formulae (30) and
(31)

 ∞  π  π
b3 −it(b23 −b̄22 −A23 )
fB3 (b3 )= dt dφ 1 e dφ3 exp it[2A3 b̄2 cos(φ3 )]
2π 3 −∞ 0 0
  ∞
b3 π 2 2 2
= 2 dφ1 dt e−it(b3 −b̄2 −A3 ) J0 (2A3 b̄2 )
π 0 −∞
⎧ ⎫
 π ⎨ ⎬
2b3 1
= 2 dφ1 R   2 ⎭ m3 ≤ b 3 ≤ M 3 (35)
π 0 ⎩
4A23 b̄22 − b23 − b̄22 − A23

where b̄22 = A21 + A22 + 2A1 A2 cos(φ1 ) and R denotes the real part. To calculate the real part of the integral
in (35) I change the integration variable from φ1 to b̄2 = b2 to obtain:
⎧ ⎫
 π ⎨ ⎬
2b3 1
fB3 (b3 )= 2 dφ1 R   2 ⎭
π 0 ⎩
4A23 b̄22 − b23 − b̄22 − A23

2b3 M2 db2 1
= 2 1{|ψ3 |<1}
π m2 2|A1 A2 A3 | 1 − ψ22 1 − ψ32
 M̄2
2b3 db
= 2  2    (36)
π m̄2 2|A A A | 1 − ψ 2 1 − ψ 2
1 2 3 2 3

where
b22 − A21 − A22 b23 − b22 − A23
ψ2  ψ3  ,
2A1 A2 2A3 b2
and M̄2  min (M2 , b3 + |A3 |) and m̄2  max (m2 , |b3 − |A3 ||). Formula (36) is also a hitherto undiscovered
pdf. The pdf fB3 (b3 ) is shown in Fig. 1 for different combinations of A1 , A2 , and A3 . Furthermore, for
instance when A1 = A2 = 1 I obtain another new pdf formula
 min(2, b3 +1)
2b3 2b2 db2
fB3 (b3 ) = 2 0 ≤ b3 ≤ 3 (37)
π |b3 −1| (4b2 − (b3 − b2 − 1)2 )(4 − (b22 − 2)2 )
2 2 2

It is also interesting to note that the pdf in (37) has a discontinuity at b3 = 1 on either side of which the
density tends to +∞.

8
5.2 Single sum amplitude pdf in the presence of noise

In this section I consider the amplitude pdf of a single sum of sinusoids in the prsence of Gaussian noise :

n
ζn (t) = Ai cos(ωt + φi ) + Z̄t = Bn cos(ωt + θn ) + Z̄t t≥0 (38)
i=1

where the noise Z̄t is a Gaussian process with zero mean and finite variance σ 2 which is also independent of
all the other random variables, and it was proved above that the pdf of the peak resultant noisy amplitude,

Sn = |Bn + Ztp |, satisfied :
 Mn
2 (sn −bn )2
fSn (sn ) = √ e− 2σ2 fBn (bn )dbn 0 ≤ sn < ∞ (39)
σ 2π mn

Hence applying (39) to the ACF formulae (30) and (31), I obtain a new exact general formula for the pdf of
the peak resultant noisy amplitude :
 Mn 2
 ∞  ∞  π
2 − (sn2σ
−bn ) 2 2 2
fSn (sn ) = √ bn dbn e 2
dt da dΦ e−it[bn −bn−1 −an −2an bn−1 cos(φn −θn−1 )] fA,Φ (a, Φ )
σπ 2π mn −∞ −∞ −π
0 ≤ sn < ∞ (40)

Example 8 (Amplitude pdf in the presence of noise) Consider the signal of the case n = 3 of example 2
above in the presence of a Gaussian noise. Applying formula (39) to the pdf (36), I obtain :
 M3  M̄2
4 (s3 −b3 )2 db2
fS3 (s3 ) = √ b3 db3 e− 2σ2 0 ≤ s3 < ∞ (41)
σπ 2 2π m3 m̄2 2|A1 A2 A3 | (1 − ψ22 )(1 − ψ32 )

which is also a hitherto unknown noisy amplitude pdf.

5.3 Exact Density of Envelope of Noisy Stochastic Sinusoids (EDENSS)

In this section I apply the above results to find an exact formula for the hitherto unknown general distrib-
ution of the envelope of a pair of noisy sinusoidal sums which widely applicable in the modelling of many
communication channels, particularly in bit error rate evaluation problems. Consider the two noisy signals

n
rI = Ai cos(φi ) + ZI
i=1
(42)

n
rQ = Ai sin(φi ) + ZQ
i=1

Assume the above general conditions for Ai s and φi s and let ZI and ZQ be two zero mean independent
2
Gaussian
 noise random variables, each with variance σ . Then the distribution of the envelope (modulus)
Rn = rI2 + rQ
2 is of significant importance.

Theorem 6 (Exact Density of the Envelope of Noisy Stochastic Sinusoids (EDENSS))

Under the general conditions for the random variables Ai and φi , for 0 ≤ rn < ∞, the pdf, fRn (rn ), of Rn
is given by
  b2 + r 2   b r 
rn Mn n n
fRn (rn ) = 2 dbn fBn (bn ) exp − n 2 n I0 , (43)
σ mn 2σ σ2
where Bn is the signal envelope defined in (3), and fBn (bn ) denotes its pdf which is given by the EECF
formulae (30) and (31) above, and I0 denotes the modified Bessel function of order zero.

9
 Example 9 As an example of the application of the EDENSS formula (43), consider the model (42) with
n = 2, constant A1 and A2 , and independent uniform φi s. The pdf of B2 for this case was derived in (34)
of Example 6 above, hence the pdf of the modulus of two noisy stochastic sinusoids in this case, is obtained
by applying formula (43), using the envelope density (34), to give
 M2  b2 + r 2   b r 
r2 2b2 db2 2 2
fR2 (r2 ) = exp − 2 2 2 I0 , (44)
σ2 m2 π 4A21 A22 − (b22 − A21 − A22 )2 2σ σ2

where m2  ||A1 | − |A2 ||, and M2  |A1 | + |A2 |.

Corollary 2 (Generalized Ricean Envelope Density (GRED))

Under the general conditions for the random variables Ai and φi , for 0 ≤ rn < ∞, the conditional pdf of Rn
given Bn , is given by
rn  b2 + r 2   b r 
n n
fRn /Bn (rn , bn ) = 2 exp − n 2 n I0 (45)
σ 2σ σ2

Remark Note in the previous literature, formula (45) was only available in its special Ricean form, i.e.
for n = 1 and under the much stricter condition that φ1 be uniform in (−π, π), independently of A1 ,
whilst formula (45) is now proven to be valid under the most general conditions that 1 ≤ n < ∞, and
{Ai , φi , i = 1, · · · , n} just have the joint density fA,Φ (a, Φ).

5.4 The General pdf as FT of The Characteristic Function

In this section I further illustrate the power of the above CF and FT methods by presenting an entirely new
alternative proof of the Exact General Amplitude Density (EGED) of Theorem 4 above, which is purely
based on CF and FT methods described above.

Theorem 7 (Exact General Envelope Density (EGED) via characteristic function)

Under the assumptions and notations of Theorem 1, the pdf of the resultant amplitude Bn is given by

 −1
 
fBn (bn ) = 2bn E  4A2n Bn−1
2 2
− (b2n − Bn−1 − A2n )2  1{|Ψn |≤1, Φn ∈Un } mn ≤ b n ≤ M n , (46)

where the expectation is with respect to the given joint law fA,Φ , and 1{.} denotes the indicator of the set
{.} and
 2 2 
bn − Bn−1 − A2n
Ψn  , Un  {αi , |αi | < π, i = 1, ..., 4}, αi ∈ {θn−1 ± | cos−1 Ψ| ∓ 2kπ, k = 0, 1}.
2An Bn−1

Proof Substituting (30) in (31), and calculating the Fourier transform, I obtain φ
  ∞  π
bn ∞ 2
fBn (bn )= dt e−ibn t da dΦ exp it{b2n−1 + a2n + 2an bn−1 cos(φn − θn−1 )}fA,Φ (a, Φ)
π −∞ −∞ −π
 ∞  π
= 2bn da dΦ δ(bn − b2n−1 − a2n − 2an bn−1 cos(φn − θn−1 ))fA,Φ (a, Φ)
2
(47)
−∞ −π

where δ denotes the Dirac delta function. Changing the variable of integration from φn to α = φn − θn−1 ,
and then from α to y = b2n−1 + a2n + 2an bn−1 cos(α), while assuming for the moment that an ≥ 0 and
y−b2n−1 −a2n
π − C0 ≤ θ  θn−1 ≤ π, where C0  C0 (ψ̄)  | cos−1 ψ̄| is a solution for α in terms of y, and ψ̄  2an bn−1 ,

10
I obtain
    
∞ π −π π−θ
fBn (bn ) = 2bn da dΦ̄ + dα δ(b2n − y) f (α + θ)
−∞ −π −π−θ −π
  1
 
∞ π  y1
= 2bn da dΦ̄ 1{α=−Ck } dyδ(b2n − y)V (ψ̄) f (α + θ)
−∞ −π k=0 (b−a)2
 ∞  1
π  
= 2bn da dΦ̄ 1{α=−Ck (ψn )} |V (ψn )| f (α + θ) (48)
−∞ −π k=0

where f (α + θ)  fA,Φ (a, Φ̄, α + θ), y1  b2n−1 + a2n − 2an bn−1 cos(θ), C1  C1 (ψ̄)  −| cos−1 (ψ̄)| + 2π is
−1 −1
another solution for α in terms of y, V (ψ̄)  (2an bn−1 1 − ψ̄ 2 = − ∂| cos∂y (ψ̄)| , ψn denotes ψ̄ evaluated
at y = b2n , a  an , b  bn−1 . Note that, sin α is positive in the first, and negative in the second region of
integration, and the order of the limits of the first integral in (48) has been reversed with a sign change, and
it has been incorporated in the second integral. When π − C0 ≤ θ ≤ π, but a < 0, the sign of V (ψ̄) in (48)
reverses, as well as the order of the integral limits, and I obtain (48) again. In analogy to the derivation of
(48), for the region where −π ≤ θ ≤ −π + C0 and a ≥ 0, I obtain
 ∞  1

π  
fBn (bn ) = 2bn 1{α=Ck (ψn )} |V (ψn )| f (α + θ) dΦ̄ da (49)
−∞ −π k=0

When −π ≤ θ ≤ −π + C0 , but a ≤ 0, in analogy to the derivation of the second case above, the limits and
the signs of the integrals and the sign of V (ψ̄) reverse and I obtain (49) again. For the intermediate region
where −π + C0 ≤ θ ≤ π − C0 , an expression already included within (48) and (49) is obtained in a very
similar fashion. Hence, putting (48) and (49) together for the whole regions of an and θn−1 I obtain
 ∞  π 1 
 !
fBn (bn ) = 2bn da dΦ 1̃ 1  + 1  |V (ψn )|fA,Φ (a, Φ) (50)
φn =−Ck (ψn )+θn−1 φn =Ck (ψn )+θn−1
−∞ −π k=0

where 1̃  1{|ψn |≤1} ensures that the functions Ck are not undefined. Finally writing (50) in terms of the
expectation with respect to the given joint law fA,Φ I obtain (46) and the proof of the Theorem is complete.

6 Appendix

6.1 Proof of Theorem 1

By expanding the cos on both sides of (2), it is sufficient to solve the double identities


n
Ai cos(φi ) = Bn cos(θn ) (51)
i=1


n
Ai sin(φi ) = Bn sin(θn )) (52)
i=1

Squaring both sides of (51) and (52) and adding I obtain (3). Further, dividing each side of (52) by the
corresponding side (51) I obtain (4). Finally by choosing θn so that the sign of the trigonometric terms
match on both sides of (51) and (52), the solutions presented in (3) and (4) are unique and Bn is positive
and the proof is complete.

11
6.2 Proof of Theorem 2
Formula (3) can be written as


n 
n−1 
n−2
Bn2 = A2i + 2An Ak cos(φn − φk ) + 2 Aj Ak cos (φj − φk ) (53)
i=1 k=1 (n−1)≥j>k≥1

Expanding the cos terms and writing in terms of the half-angle tangents we find Bn2 as a quadratic expression
in Tn :
Q  Bn2 − b2n = aTn2 + 4An S̄n Tn + (In + 2An C̄n ) (54)
The probability on the LHS of (6) is the multiple integral of the pdf over the regions where the quadratic
(54) is non-positive. Distinguishing between two cases where the delta ΔQ of the quadratic is positive or
negative, I find that Q is non-positive only in the union of the three disjoint regions within the space {a, t}
, namely the regions {ΔQ > 0, a > 0, Tn ∈ [ān , b̄n ]}, {ΔQ > 0, a < 0, Tn ∈/ [ān , b̄n ]} and {ΔQ < 0, a < 0},
where ān and b̄n are the real roots of Q when ΔQ is non-negative, and b̄ is the larger root in the first region,
and vice-versa in the second. The probability corresponding to each of these three disjoint regions, is the
respective integral in formula (6), and the proof is complete.

6.3 Proof of Theorem 3

Formula (3) can be written as :


n−1 
n−2 
n−1
Bn2 = A2i + 2 Aj Ak cos(φj − φk ) + [A2n + 2An Ak cos(φn − φk )] (55)
i=1 n−1≥j>k≥1 k=1

By (3) again the first two terms on the RHS of (55) are Bn−1 , hence I can write (55) as (15) and the proof
is complete.

6.4 Proof of Theorem 4

Calculating the cdf of Bn2 I have
 ∞  π
P (Bn2 ≤ b2n ) = da d Φ̄ 1{|ψn |<1} P (cos(Φn − θn−1 ) ≤ ψn /a, Φ̄)fA,Φ̄ (a,Φ̄)) (56)
−∞ −π

where Φ̄ denotes the vector (Φ1 , ..., Φn−1 ) and likewise Φ̄ denotes the vector (φ1 , ..., φn−1 ), and
 2 
bn − b2n−1 − a2n
ψn  (57)
2an bn−1

and without loss of generality an is assumed to be positive (see the remark below). Note that when ψn ≥ 1
or ≤ −1, the LHS of (56) takes the values 1 and 0 respectively. Writing (56) in terms of the cdf I obtain
 ∞  π
2 2
P (Bn ≤ bn ) = da dΦ̄ 1{|ψn |<1} [1−FΦn /A,Φ̄ (C(ψ)+θn−1 )+FΦn /A,Φ̄ (−C(ψ)+θn−1 )]f (a,Φ̄) (58)
A,Φ̄
−∞ −π
   
where C(x)  cos−1 (x) or C(x)  cos−1 (x) − 2π . Differentiating (58) with respect to b2n and writing
in terms of the expectation with respect to the given joint law I obtain (16) and the proof of the EGAD
Theorem is complete.

Remark Note that identical steps prove EGAD Theorem for the region of integration where an is
negative, and 1 minus the integrand in (58) is obtained, which after differentiation gives the same result with
an changed to −an . Hence, for all an , formula (16) follows with |an |, in the union of the two regions .

12
6.5 Proof of Theorem 6

Using the SAT formula (2), and squaring both sides of (42) and adding, I obtain

Rn2 = (ZI + Bn cos θn )2 + (ZQ + Bn sin θn )2 (59)

Hence
σ −2 Rn2 = (Z1 + σ −1 Bn cos θn )2 + (Z2 + σ −1 Bn sin θn )2 (60)
where Z1 and Z2 are two independent standard Normal random variables. Thus, conditional on the values
of Bn and θn , the LHS of (60) is a non-central chi-squared random variable with 2 degrees of freedom and
non-centrality parameter λ2 = σ −2 b2n , whose pdf is given by
1  1   √ 
χ2 (2, λ2 )(x) ∼ exp − (λ2 + x) I0 λ x (61)
2 2
Calculating the conditional pdf of Rn from (60) and (61), and integrating it with respect to the joint law of
Bn and θn , gives formula (43) and the proof is complete.

6.6 Proof of Corollary 2

By (61) above, conditional on Bn , the pdf of Rm is

 π
fRn /Bn (rn , bn ) = dθn fRn /Bn ,Θn (rn , bn , θn )fΘn /Bn (θn , bn )
−π
  1
π
rn 2 rn2   λrn 
= exp −
dθn fΘn /Bn (θn , bn ) λ + I0
−π σ2 2 σ2 σ
rn  2
b +r 2 
bn rn 
= exp − n 2 n I0
σ2 2σ σ2
and the proof of the corollary is complete.

References
[1] S. Rice, “Probability distributions for noise plus several sine waves–The problem of computation,” IEEE
Trans. Commun., COM-22, pp. 851-853, Jun. 1974.
[2] J. Kluyver, “A local probability problem,” Nederlande Akademie van Wetenschap, 8, pp. 341-350, 1906.
[3] M. Simon, “On the probability density function of the squared envelope of a sum of random vectors,”
IEEE Trans. Commun., COM-33, pp. 993-996, Sept. 1985.
[4] C. Helstrom, “Distribution of the sum of two sine waves and Gaussian noise,” IEEE Trans. Inform.
Theory, vol. 38, pp. 186-191, Jan. 1992.
[5] C. Helstrom, “Distribution of the envelope of a sum of random sine waves and Gaussian noise,” IEEE
Trans. IEEE Trans. Aerosp. Electron. Syst., vol. 35, pp. 594-601, Apr. 1999.

13
 Theoretical
Simulation

0 0.2 0.4 0.6 0.8 1.0 1.2 1.4 1.6 1.8 2.0
b2
Figure 1: Pdf of Example 2 with correlated phases.