Distribution and characteristic functions for correlated complex Wishart matrices

  • Authors:
  • Peter J. Smith;Lee M. Garth

  • Affiliations:
  • Department of Electrical and Computer Engineering, University of Canterbury, Private Bag 4800, Christchurch, New Zealand;Department of Electrical and Computer Engineering, University of Canterbury, Private Bag 4800, Christchurch, New Zealand

  • Venue:
  • Journal of Multivariate Analysis
  • Year:
  • 2007

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Abstract

Let A(t) be a complex Wishart process defined in terms of the MxN complex Gaussian matrix X(t) by A(t)=X(t)X(t)^H. The covariance matrix of the columns of X(t) is @S. If X(t), the underlying Gaussian process, is a correlated process over time, then we have dependence between samples of the Wishart process. In this paper, we study the joint statistics of the Wishart process at two points in time, t"1, t"2, where t"1