 The inverted complex Wishart distribution and its application to spectral estimationPaul Shaman Journal of Multivariate Analysis, 1980, vol. 10, issue 1, 51-59 Abstract: The inverted complex Wishart distribution and its use for the construction of spectral estimates are studied. The density, some marginals of the distribution, and the first- and second-order moments are given. For a vector-valued 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 is an inverted complex Wishart distribution. Use of the procedure for estimation of a 2 - 2 spectral density matrix is discussed. Keywords: Complex; Wishart; distribution; inverted; complex; Wishart; distribution; multiple; time; series; spectral; density; periodogram; prior; distribution; posterior; distribution (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:10:y:1980:i:1:p:51-59 Ordering information: This journal article can be ordered from Access Statistics for this article Journal of Multivariate Analysis is currently edited by de Leeuw, J. More articles in Journal of Multivariate Analysis from Elsevier |
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