IDEAS home Printed from
   My bibliography  Save this article

Distribution and characteristic functions for correlated complex Wishart matrices


  • Smith, Peter J.
  • Garth, Lee M.


Let A(t) be a complex Wishart process defined in terms of the MxN complex Gaussian matrix X(t) by A(t)=X(t)X(t)H. The covariance matrix of the columns of X(t) is [Sigma]. 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

Suggested Citation

  • Smith, Peter J. & Garth, Lee M., 2007. "Distribution and characteristic functions for correlated complex Wishart matrices," Journal of Multivariate Analysis, Elsevier, vol. 98(4), pages 661-677, April.
  • Handle: RePEc:eee:jmvana:v:98:y:2007:i:4:p:661-677

    Download full text from publisher

    File URL:
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    1. Smith, Peter J. & Gao, Hongsheng, 2000. "A Determinant Representation for the Distribution of a Generalised Quadratic Form in Complex Normal Vectors," Journal of Multivariate Analysis, Elsevier, vol. 73(1), pages 41-54, April.
    Full references (including those not matched with items on IDEAS)


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. Withers, Christopher S. & Nadarajah, Saralees, 2012. "Moments and cumulants for the complex Wishart," Journal of Multivariate Analysis, Elsevier, vol. 112(C), pages 242-247.
    2. Dharmawansa, Prathapasinghe & McKay, Matthew R., 2011. "Extreme eigenvalue distributions of some complex correlated non-central Wishart and gamma-Wishart random matrices," Journal of Multivariate Analysis, Elsevier, vol. 102(4), pages 847-868, April.


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:98:y:2007:i:4:p:661-677. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.