Computing the Moments of the Complex Gaussian: Full and Sparse Covariance Matrix

Claudia Fassino, Giovanni Pistone and Maria Piera Rogantin
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Claudia Fassino: Department of Mathematics, University of Genova, 16146 Genova, Italy
Giovanni Pistone: Department de Castro Statistics, Collegio Carlo Alberto, 10122 Torino, Italy
Maria Piera Rogantin: Department of Mathematics, University of Genova, 16146 Genova, Italy

Mathematics, 2019, vol. 7, issue 3, 1-18

Abstract: Given a multivariate complex centered Gaussian vector Z = ( Z 1 , ? , Z p ) with non-singular covariance matrix Σ , we derive sufficient conditions on the nullity of the complex moments and we give a closed-form expression for the non-null complex moments. We present conditions for the factorisation of the complex moments. Computational consequences of these results are discussed.

Keywords: Complex Gaussian Distribution; null moments; moment factorisation (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2019
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