On the Variability of the Sample Covariance Matrix Under Complex Elliptical Distributions
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A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä
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2021-01-01
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en
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5
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IEEE Signal Processing Letters, Volume 28, pp. 2092-2096
Abstract
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.Description
Keywords
Covariance matrices, Random variables, Gaussian distribution, Symmetric matrices, Reactive power, Radar signal processing, Maximum likelihood estimation
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Citation
Raninen, E, Ollila, E & Tyler, D E 2021, ' On the Variability of the Sample Covariance Matrix Under Complex Elliptical Distributions ', IEEE Signal Processing Letters, vol. 28, 9557837, pp. 2092-2096 . https://doi.org/10.1109/LSP.2021.3117443