Complex Wishart distribution
Notation | A ~ CWp( , n) |
---|---|
Parameters |
n > p − 1 degrees of freedom (real) > 0 (p × p Hermitian pos. def) |
Support | A (p × p) Hermitian positive definite matrix |
| |
Mean | |
Mode | for n ≥ p + 1 |
CF |
In statistics, the complex Wishart distribution is a complex version of the Wishart distribution. It is the distribution of times the sample Hermitian covariance matrix of zero-mean independent Gaussian random variables. It has support for Hermitian positive definite matrices.[1]
References
- ↑ N. R. Goodman (1963). "The distribution of the determinant of a complex Wishart distributed matrix". The Annals of Mathematical Statistics. 34 (1). pp. 178–180.
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