A complex generalized Gaussian distribution: characterization, generation, and estimation

Authors:
Mike Novey;Tülay Adali;Anindya Roy
Affiliations:
University of Maryland Baltimore County, Catonsville, MD;University of Maryland Baltimore County, Catonsville, MD;University of Maryland Baltimore County, Catonsville, MD
Venue:
IEEE Transactions on Signal Processing
Year:
2010

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Abstract

The generalized Gaussian distribution (GGD) provides a flexible and suitable tool for data modeling and simulation, however the characterization of the complex-valued GGD, in particular generation of samples from a complex GGD have not been well defined in the literature. In this correspondence, we provide a thorough presentation of the complex-valued GGD by: i) constructing the probability density function (pdf); ii) defining a procedure for generating random numbers from the complex-valued GGD; and iii) implementing a maximum likelihood estimation (MLE) procedure for the shape and covariance parameters in the complex domain. We quantify the performance of the MLE with simulations and actual radar data.