The inverted complex Wishart distribution and its application to spectral estimation
作者： Paul Shaman
DOI: 10.1016/0047-259X(80)90081-0
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摘要: Abstract The inverted complex Wishart distribution and its use for the construction of spectral estimates are studied. density, some marginals distribution, first- second-order moments given. For a vector-valued time series, estimation density at collection frequencies increments function in each set frequency bands considered. A formal procedure applies Bayes theorem, where is used to represent an average adjacent periodogram values. conjugate prior parameter distribution. Use 2 × matrix discussed.
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