A Central Limit Theorem for the SNR at the Wiener Filter Output for Large Dimensional Signals

Consider the quadratic form β = y(YY + ρI)y where ρ is a positive number, where y is a random vector and Y is a N × K random matrix both having independent elements with different variances, and where y and Y are independent. Such quadratic forms represent the Signal to Noise Ratio at the output of the linear Wiener receiver for multi dimensional signals frequently encountered in wireless communications and in array processing. Using well known results of Random Matrix Theory, the quadratic form β can be approximated with a known deterministic real number β̄K in the asymptotic regime where K → ∞ and K/N → α > 0. This paper addresses the problem of convergence of β. More specifically, it is shown here that √ K(β− β̄K) behaves for large K like a Gaussian random variable which variance is provided.