Various utilities for the complex multivariate Gaussian distribution.
The DESCRIPTION file:
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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): 152–177
R. K. S. Hankin 2015. “The complex multivariate Gaussian distribution”. R News, volume 7, number 1.
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