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Various utilities for the complex multivariate Gaussian distribution.

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Generalizing the real multivariate Gaussian distribution to the complex case is not straightforward but one common approach is to replace the real symmetric variance matrix with a Hermitian positive-definite matrix. The cmvnorm package provides some functionality for the resulting density function.

Robin K. S. Hankin

Maintainer: Robin K. S. Hankin <[email protected]>

N. R. Goodman 1963. “Statistical analysis based on a certain multivariate complex Gaussian distribution”.

*The Annals of Mathematical Statistics*. 34(1): 152–177R. K. S. Hankin 2015. “The complex multivariate Gaussian distribution”.

*R News*, volume 7, number 1.

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cmvnorm documentation built on Aug. 16, 2018, 9:05 a.m.

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