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 estimation; periodogram; posterior distribution; prior distribution; inverted complex Wishart distribution; multiple time series analysis

Mathematics Subject Classification ID

62H10: Multivariate distribution of statistics

62F15: Bayesian inference

62E15: Exact distribution theory in statistics

62M15: Inference from stochastic processes and spectral analysis

Related Items

Estimation of normal covariance matrices parametrized by irreducible symmetric cones under Stein's loss

Cites Work

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• Statistical Analysis Based on a Certain Multivariate Complex Gaussian Distribution (An Introduction)