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Signal Detection in Colored Noise Using the Condition Number of $F$-Matrices

Signal detection in colored noise with an unknown covariance matrix has numerous applications across various scientific and engineering disciplines. The analysis focuses on the square of the condition number \(\kappa^2(\cdot)\), defined as the ratio of the largest to smallest eigenvalue \((\lambda_{\text{max}}/\lambda_{\text{min}})\) of the whitened sample covariance matrix \(\bm{\widehat{\Psi}}\), constructed from \(p\) signal-plus-noise samples and \(n\) noise-only samples, both \(m\)-dimensional. This statistic is denoted as \(\kappa^2(\bm{\widehat{\Psi}})\). A finite-dimensional characterization of the false alarm probability for this statistic under the null and alternative hypotheses has been an open problem. Therefore, in this work, we address this by deriving the cumulative distribution function (c.d.f.) of \(\kappa^2(\bm{\widehat{\Psi}})\) using the powerful orthogonal polynomial approach in random matrix theory. These c.d.f. expressions have been used to statistically characterize the performance of \(\kappa^2(\bm{\widehat{\Psi}})\).

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