| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1147171 | Journal of Multivariate Analysis | 2007 | 17 Pages |
Abstract
Let A(t) be a complex Wishart process defined in terms of the M×N complex Gaussian matrix X(t) by A(t)=X(t)X(t)H. The covariance matrix of the columns of X(t) is Σ. 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, t1, t2, where t1
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
