A trivariate chi-squared distribution derived from the complex Wishart distribution

Marcus Hagedorn, P.J. Smith, P.J. Bones, R.P. Millane and D. Pairman

Journal of Multivariate Analysis, 2006, vol. 97, issue 3, 655-674

Abstract: The joint density for a particular trivariate chi-squared distribution given by the diagonal elements of a complex Wishart matrix is derived. This distribution has applications in the processing of multilook synthetic aperture radar data. The expression for the density is in the form of an infinite series that converges rapidly and is simple and fast to compute. The expression is shown to reduce to known forms for a number of special cases and is validated by simulation. The characteristic function is also derived and used to relate joint moments of the trivariate distribution to the parameters of the density function.

Date: 2006
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