cmvnorm-package: The Complex Multivariate Gaussian Distribution

In cmvnorm: The Complex Multivariate Gaussian Distribution

Description

Various utilities for the complex multivariate Gaussian distribution and complex Gaussian processes.

Details

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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.

Author(s)

Robin K. S. Hankin [aut, cre] (<https://orcid.org/0000-0001-5982-0415>)

Maintainer: Robin K. S. Hankin <[e-mail]>

References

• N. R. Goodman 1963. “Statistical analysis based on a certain multivariate complex Gaussian distribution”. The Annals of Mathematical Statistics. 34(1): 152–177

• R. K. S. Hankin 2015. “The complex multivariate Gaussian distribution”. R News, volume 7, number 1.

Examples

S1 <- 4+diag(5)
S2 <- S1
S2[1,5] <- 4+1i
S2[5,1] <- 4-1i   # Hermitian


rcmvnorm(10,sigma=S1)
rcmvnorm(10,mean=rep(1i,5),sigma=S2)

dcmvnorm(rep(1,5),sigma=S2)

cmvnorm documentation built on Jan. 31, 2022, 1:06 a.m.