A Determinant Representation for the Distribution of Quadratic Forms in Complex Normal Vectors |
| |
Authors: | Hongsheng Gao Peter J Smith |
| |
Institution: | Institute of Statistics and Operations Research, Victoria University of Wellington, P.O. Box 600, Wellington, New Zealand |
| |
Abstract: | Let the column vectors of X:: M×N, M<N, be distributed as independent complex normal vectors with the same covariance matrix Σ. Then the usual quadratic form in the complex normal vectors is denoted by Z=XLXH where L: N×N is a positive definite hermitian matrix. This paper deals with a representation for the density function of Z in terms of a ratio of determinants. This representation also yields a compact form for the distribution of the generalized variance |Z|. |
| |
Keywords: | quadratic form complex normal vector hypergeometric functions distributions |
本文献已被 ScienceDirect 等数据库收录! |