On the variability of the sample covariance matrix under complex elliptical distributions
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Publication:6375495
DOI10.1109/LSP.2021.3117443arXiv2108.08047MaRDI QIDQ6375495FDOQ6375495
Authors: Elias Raninen, Esa Ollila, David E. Tyler 
Publication date: 18 August 2021
Abstract: We derive the form of the variance-covariance matrix for any affine equivariant matrix-valued statistics when sampling from complex elliptical distributions. We then use this result to derive the variance-covariance matrix of the sample covariance matrix (SCM) as well as its theoretical mean squared error (MSE) when finite fourth-order moments exist. Finally, illustrative examples of the formulas are presented.
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