The Inverted Complex Wishart Distribution and Its Application to Spectral Estimation.

Abstract

The inverted complex Wishart distribution is studied and its use for the construction of spectral estimates is illustrated. The density, some marginals of the distribution, and the frist- and second-order moments are given. For a vector-values time series, estimation of the spectral density at a collection of frequencies and estimation of the increments of the spectral distribution function in each of a set of frequency bands are considered. A formal procedure applies Bayes theorem, where the complex Wishart is used to represent the distribution of an average of adjacent periodogram values. A conjugate prior distribution for each parameter vector is a product of inverted complex Wishart distributions. (Author)

Open PDF

Document Details

Document Type
Technical Report
Publication Date
Aug 01, 1976
Accession Number
ADA031118

Entities

People

  • Paul Shaman

Organizations

  • Carnegie Mellon University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Bayes Theorem
  • Covariance
  • Data Science
  • Distribution Functions
  • Frequency
  • Frequency Bands
  • Frequency Domain
  • Gaussian Processes
  • Information Science
  • Normal Distribution
  • Random Variables
  • Stationary Processes
  • Statistics
  • Stochastic Processes
  • United States
  • United States Government
  • Wishart Matrices

Fields of Study

  • Mathematics

Readers

  • Statistical inference.