On the Variability of the Sample Covariance Matrix Under Complex Elliptical Distributions
نویسندگان
چکیده
We derive the form of variance-covariance matrix for any affine equivariant matrix-valued statistics when sampling from complex elliptical distributions. then use this result to sample covariance (SCM) as well its theoretical mean squared error (MSE) finite fourth-order moments exist. Finally, illustrative examples formulas are presented.
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ژورنال
عنوان ژورنال: IEEE Signal Processing Letters
سال: 2021
ISSN: ['1558-2361', '1070-9908']
DOI: https://doi.org/10.1109/lsp.2021.3117443