Distribution and characteristic functions for correlated complex Wishart matrices
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References listed on IDEAS
- 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.
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- Withers, Christopher S. & Nadarajah, Saralees, 2012. "Moments and cumulants for the complex Wishart," Journal of Multivariate Analysis, Elsevier, vol. 112(C), pages 242-247.
- 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.
More about this item
KeywordsCorrelated Wishart Non-central distribution Eigenvalues Hypergeometric function;
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