\Sexpr[results=rd,stage=build]{tools:::Rd_package_title("cmvnorm")}

Description

Details

The DESCRIPTION file: \Sexpr[results=rd,stage=build]{tools:::Rd_package_DESCRIPTION("cmvnorm")} \Sexpr[results=rd,stage=build]{tools:::Rd_package_indices("cmvnorm")}

Generalizing the real multivariate Gaussian distribution to the complex case is not straightforward but one common approach is to replace the real symmetric variance matrix with a Hermitian positive-definite matrix. The cmvnorm package provides some functionality for the resulting density function.

Author(s)

Maintainer: \Sexpr[results=rd,stage=build]{tools:::Rd_package_maintainer("cmvnorm")}

References

• N. R. Goodman 1963. “Statistical analysis based on a certain multivariate complex Gaussian distribution”. The Annals of Mathematical Statistics. 34(1): 152–177

• R. K. S. Hankin 2015. “The complex multivariate Gaussian distribution”. R News, volume 7, number 1.

Examples

S1 <- 4+diag(5)
S2 <- S1
S2[1,5] <- 4+1i
S2[5,1] <- 4-1i   # Hermitian


rcmvnorm(10,sigma=S1)
rcmvnorm(10,mean=rep(1i,5),sigma=S2)

dcmvnorm(rep(1,5),sigma=S2)