IDEAS home Printed from https://ideas.repec.org/a/eee/jmvana/v100y2009i4p561-580.html
   My bibliography  Save this article

Diagonal distribution of a complex non-central Wishart matrix: A new trivariate non-central chi-squared density

Author

Listed:
  • Dharmawansa, Prathapasinghe
  • McKay, Matthew R.

Abstract

This paper derives the joint density of a particular trivariate non-central [chi]2 distribution corresponding to the diagonal elements of a 3x3 complex non-central Wishart matrix. This distribution is important for a number of practical statistical signal processing applications, including synthetic aperture radar, extra-solar planet detection, and multi-antenna wireless communications. The density expression is in the form of an infinite series representation which converges rapidly and is easy to compute. The joint density of the diagonal elements of a 2x2 complex non-central Wishart matrix is also derived by simple reduction of the trivariate result.

Suggested Citation

  • Dharmawansa, Prathapasinghe & McKay, Matthew R., 2009. "Diagonal distribution of a complex non-central Wishart matrix: A new trivariate non-central chi-squared density," Journal of Multivariate Analysis, Elsevier, vol. 100(4), pages 561-580, April.
  • Handle: RePEc:eee:jmvana:v:100:y:2009:i:4:p:561-580
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0047-259X(08)00157-7
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Royen, T., 1991. "Expansions for the multivariate chi-square distribution," Journal of Multivariate Analysis, Elsevier, vol. 38(2), pages 213-232, August.
    2. Hagedorn, M. & Smith, P.J. & Bones, P.J. & Millane, R.P. & Pairman, D., 2006. "A trivariate chi-squared distribution derived from the complex Wishart distribution," Journal of Multivariate Analysis, Elsevier, vol. 97(3), pages 655-674, March.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Withers, Christopher S. & Nadarajah, Saralees, 2012. "Moments and cumulants for the complex Wishart," Journal of Multivariate Analysis, Elsevier, vol. 112(C), pages 242-247.
    2. Abraão Nascimento & Jodavid Ferreira & Alisson Silva, 2023. "Divergence-based tests for the bivariate gamma distribution applied to polarimetric synthetic aperture radar," Statistical Papers, Springer, vol. 64(5), pages 1439-1463, October.
    3. T. Royen, 1994. "On some multivariate gamma-distributions connected with spanning trees," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 46(2), pages 361-371, June.
    4. Nurulkamal Masseran, 2021. "Modeling the Characteristics of Unhealthy Air Pollution Events: A Copula Approach," IJERPH, MDPI, vol. 18(16), pages 1-18, August.
    5. Yoshihide Kakizawa, 2009. "Multiple comparisons of several homoscedastic multivariate populations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(1), pages 1-26, March.
    6. Blacher, René, 2003. "Multivariate quadratic forms of random vectors," Journal of Multivariate Analysis, Elsevier, vol. 87(1), pages 2-23, October.
    7. Hagedorn, M. & Smith, P.J. & Bones, P.J. & Millane, R.P. & Pairman, D., 2006. "A trivariate chi-squared distribution derived from the complex Wishart distribution," Journal of Multivariate Analysis, Elsevier, vol. 97(3), pages 655-674, March.
    8. T. Royen, 2007. "Integral Representations and Approximations for Multivariate Gamma Distributions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 59(3), pages 499-513, September.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:100:y:2009:i:4:p:561-580. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.