On moments of complex Wishart and complex inverse Wishart distributed matrices
نویسندگان
چکیده
This paper addresses the calculation of moments of complex Wishart and complex inverse Wishart distributed random matrices. Complex Wishart and complex inverse Wishart distributed random matrices are used in applications like radar, sonar, or seismics in order to model the statistical properties of complex sample covariance matrices and complex inverse sample covariance matrices, respectively. Moments of these random matrices are often needed e.g. in studies of asymptotic properties of parameter estimates. This paper gives a derivation of the probability density function of complex inverse Wishart distributed random matrices. Furthermore, strategies are outlined for the calculation of the moments of complex Wishart and complex inverse Wishart distributed matrices.
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