Distribution and characteristic functions for correlated complex Wishart matrices

Peter J. Smith and Lee M. Garth

Journal of Multivariate Analysis, 2007, vol. 98, issue 4, 661-677

Abstract: Let A(t) be a complex Wishart process defined in terms of the MxN complex Gaussian matrix X(t) by A(t)=X(t)X(t)H. The covariance matrix of the columns of X(t) is [Sigma]. If X(t), the underlying Gaussian process, is a correlated process over time, then we have dependence between samples of the Wishart process. In this paper, we study the joint statistics of the Wishart process at two points in time, t1, t2, where t1

Keywords: Correlated; Wishart; Non-central; distribution; Eigenvalues; Hypergeometric; function (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (4)

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