cmvnorm-package: The Complex Multivariate Gaussian Distribution

Description Details Author(s) References Examples

Description

Various utilities for the complex multivariate Gaussian distribution.

Details

The DESCRIPTION file: This package was not yet installed at build time.

Index: This package was not yet installed at build time.

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

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

References

Examples

 1
 2
 3
 4
 5
 6
 7
 8
 9
10
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 Aug. 16, 2018, 9:05 a.m.