Accession Number:

ADA031118

Title:

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

Descriptive Note:

Technical rept.,

Corporate Author:

CARNEGIE-MELLON UNIV PITTSBURGH PA DEPT OF STATISTICS

Personal Author(s):

Report Date:

1976-08-01

Pagination or Media Count:

20.0

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

Subject Categories:

  • Statistics and Probability
  • Optics

Distribution Statement:

APPROVED FOR PUBLIC RELEASE