The Inverted Complex Wishart Distribution and Its Application to Spectral Estimation.

摘要

The inverted complex Wishart distribution is studied and its use for the construction of spectral estimates is illustrated. The density, some marginals of the distribution, and the frist- and second-order moments are given. For a vector-values time series, estimation of the spectral density at a collection of frequencies and estimation of the increments of the spectral distribution function in each of a set of frequency bands are considered. A formal procedure applies Bayes theorem, where the complex Wishart is used to represent the distribution of an average of adjacent periodogram values. A conjugate prior distribution for each parameter vector is a product of inverted complex Wishart distributions. (Author)