About: Complex inverse Wishart distribution

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The complex inverse Wishart distribution is a matrix probability distribution defined on complex-valued positive-definite matrices and is the complex analog of the real inverse Wishart distribution. The complex Wishart distribution was extensively investigated by Goodman while the derivation of the inverse is shown by Shaman and others. It has greatest application in least squares optimization theory applied to complex valued data samples in digital radio communications systems, often related to Fourier Domain complex filtering.

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  • The complex inverse Wishart distribution is a matrix probability distribution defined on complex-valued positive-definite matrices and is the complex analog of the real inverse Wishart distribution. The complex Wishart distribution was extensively investigated by Goodman while the derivation of the inverse is shown by Shaman and others. It has greatest application in least squares optimization theory applied to complex valued data samples in digital radio communications systems, often related to Fourier Domain complex filtering. Letting be the sample covariance of independent complex p-vectors whose Hermitian covariance has complex Wishart distribution with mean value degrees of freedom, then the pdf of follows the complex inverse Wishart distribution. (en)
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  • for (en)
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  • Complex inverse Wishart Distribution (en)
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  • * is the complex multivariate gamma function : * is the trace function (en)
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  • is p × p positive definite Hermitian (en)
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  • density (en)
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  • see below (en)
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  • The complex inverse Wishart distribution is a matrix probability distribution defined on complex-valued positive-definite matrices and is the complex analog of the real inverse Wishart distribution. The complex Wishart distribution was extensively investigated by Goodman while the derivation of the inverse is shown by Shaman and others. It has greatest application in least squares optimization theory applied to complex valued data samples in digital radio communications systems, often related to Fourier Domain complex filtering. (en)
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  • Complex inverse Wishart distribution (en)
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