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On complex random variables.

Author(s)
Anwer Khurshid Department of Mathematical and Physical Science, College of Arts and Sciences, University of Nizwa, Sultanate of Oman
Zuhair A. Al-Hemyari Ministry of Higher Education, Sultanate of Oman
Shahid Kamal College of Statistical and Actuarial Sciences, University of the Punjab, Lahore, Pakistan
Abstract
In this paper, it is shown that a complex multivariate random variable z = (Z1, Z2,…,Zp)' is a complex multivariate normal random variable of dimensionality p if and only if all nondegenerate complex linear combinations of Z have a complex univariate normal distribution. The characteristic function of Z has been derived, and simpler forms of some theorems have been given using this characterization theorem without assuming that the variance-covariance matrix of the vector Z is Hermitian positive definite. Marginal distributions of Z have been given. In addition, a complex multivariate t-distribution has been defined and the density derived. A characterization of the complex multivariate t-distribution is given. A few possible uses of this distribution have been suggested.
Publication Details
Page(s) 645-654
DOI DOI not available
Published Journal: Pakistan Journal of Statistics and Operation Research, Volume: 8, Issue: 3, Year: 2012

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