On moments of complex Wishart and complex inverse Wishart distributed matrices

This paper addresses the calculation of moments of complex Wishart and complex inverse Wishart distributed random matrices. Complex Wishart and complex inverse Wishart distributed random matrices are used in applications like radar, sonar, or seismology in order to model the statistical properties o...

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Hauptverfasser:	Maiwald, D., Kraus, D.
Format:	Tagungsbericht
Sprache:	eng
Schlagworte:	Applied sciences Array signal processing Covariance matrix Exact sciences and technology Information, signal and communications theory Mathematical methods Position measurement Probability density function Radar applications Radar signal processing Seismic measurements Sensor arrays Signal processing Sonar applications Telecommunications and information theory
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creator	Maiwald, D. Kraus, D.
description	This paper addresses the calculation of moments of complex Wishart and complex inverse Wishart distributed random matrices. Complex Wishart and complex inverse Wishart distributed random matrices are used in applications like radar, sonar, or seismology in order to model the statistical properties of complex sample covariance matrices and complex inverse sample covariance matrices, respectively. The moments of these random matrices are often needed e.g. in studies of asymptotic properties of parameter estimates. This paper gives a derivation of the probability density function of complex inverse Wishart distributed random matrices. Furthermore, strategies are outlined for the calculation of the moments of complex Wishart and complex inverse Wishart distributed matrices.
doi_str_mv	10.1109/ICASSP.1997.604712
format	Conference Proceeding
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subjects	Applied sciences Array signal processing Covariance matrix Exact sciences and technology Information, signal and communications theory Mathematical methods Position measurement Probability density function Radar applications Radar signal processing Seismic measurements Sensor arrays Signal processing Sonar applications Telecommunications and information theory
title	On moments of complex Wishart and complex inverse Wishart distributed matrices
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