تقرير
On the variability of the sample covariance matrix under complex elliptical distributions
| العنوان: | On the variability of the sample covariance matrix under complex elliptical distributions |
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| المؤلفون: | Raninen, Elias, Ollila, Esa, Tyler, David E. |
| المصدر: | IEEE Signal Processing Letters, vol. 28, pp. 2092-2096, 2021 |
| سنة النشر: | 2021 |
| المجموعة: | Mathematics Statistics |
| مصطلحات موضوعية: | Mathematics - Statistics Theory |
| الوصف: | We derive the form of the variance-covariance matrix for any affine equivariant matrix-valued statistics when sampling from complex elliptical distributions. We then use this result to derive the variance-covariance matrix of the sample covariance matrix (SCM) as well as its theoretical mean squared error (MSE) when finite fourth-order moments exist. Finally, illustrative examples of the formulas are presented. |
| نوع الوثيقة: | Working Paper |
| DOI: | 10.1109/LSP.2021.3117443 |
| الوصول الحر: | http://arxiv.org/abs/2108.08047Test |
| رقم الانضمام: | edsarx.2108.08047 |
| قاعدة البيانات: | arXiv |
| DOI: | 10.1109/LSP.2021.3117443 |
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