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Tagged with complex-numbers multivariate-normal-distribution
3 questions
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Action of complex operator on (real) normal distribution
Let $\mathbf{x}$ be an N-dimensional (real) random variable following a multivariate normal distribution, $\mathbf{x}\sim \mathcal{N}(\boldsymbol{\mu},\boldsymbol{\Sigma})$. If $\mathbf{A}$ is a real ...
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Maximum likelihood estimation for the complex multivariate Gaussian
Background
Consider a multivariate Gaussian dataset $\mathbf{Y}$ with observations on $k$ individuals (rows) over $m$ variables (columns). The variables have covariance $\boldsymbol{\Sigma}$ (an $m\...
- 435
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Multivariate distribution for products of random variables
Suppose I have an $n$-dimensional complex, zero mean normal distribution with covariance matrix $\Sigma$, which is not diagonal. Denoting each of the random variables as $x_1, \dots ,x_n$ I would ...
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