The inverted complex Wishart distribution and its application to spectral estimation

DOI10.1016/0047-259X(80)90081-0zbMath0456.62042MaRDI QIDQ1150966

Paul Shaman

Publication date: 1980

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

spectral estimationperiodogramposterior distributionprior distributioninverted complex Wishart distributionmultiple time series analysis

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Bayesian inference (62F15) Exact distribution theory in statistics (62E15) Inference from stochastic processes and spectral analysis (62M15)

Related Items (4)

Estimation of normal covariance matrices parametrized by irreducible symmetric cones under Stein's loss ⋮ Expectations of functions of complex Wishart matrix ⋮ Moments and cumulants for the complex Wishart ⋮ Geodesic Lagrangian Monte Carlo over the space of positive definite matrices: with application to Bayesian spectral density estimation

Cites Work

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• Some recent developments on complex multivariate distributions
• Approximating circulant quadratic forms in jointly stationary Gaussian time series
• The multivariate distribution of complex normal variables
• Some Bayesian considerations in spectral estimation
• On the Distribution of Some Statistics Useful in the Analysis of Jointly Stationary Time Series
• Classical Statistical Analysis Based on a Certain Multivariate Complex Gaussian Distribution
• Asymptotic properties of spectral estimates of second order
• Statistical Analysis Based on a Certain Multivariate Complex Gaussian Distribution (An Introduction)

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