The Inverted Complex Wishart Distribution and Its Application to Spectral Estimation.
CARNEGIE-MELLON UNIV PITTSBURGH PA DEPT OF STATISTICS
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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
- Statistics and Probability