Distribution of the filtered output of a quadratic rectifier computed by numerical contour integration

The cumulative distribution of the filtered output of a quadratic rectifier whose input is either narrow-band Gaussian noise or Gaussian noise with a low-pass spectral density is to be computed by numerical quadrature of a Laplace inversion integral along a contour in the complex plane chosen to economize the number of steps. The integrand contains the moment-generating function (mgf) of the output. It is expressed in terms of the Fredholm determinant and the resolvent kernel associated with an integral equation involving the autocovariance function of the input and the impulse response of the output filter. A special case is the power of a mean-zero Gaussian process averaged over a finite interval, and when this process has a rational spectral density, the mgf can be expressed as the ratio of certain finite determinants. By this method distributions are calculated for low-pass noise with
RLC
and second- and fourth-order Chebyshev spectral densities. For rational input spectral densities but arbitrary positive output filtering and an arbitrary additive input signal, the mgf can be calculated by integrating differential equations of the Kalman-Bucy type.