Computing the Moments of the Complex Gaussian: Full and Sparse Covariance Matrix
Department of Mathematics, University of Genova, 16146 Genova, Italy
Department de Castro Statistics, Collegio Carlo Alberto, 10122 Torino, Italy
Author to whom correspondence should be addressed.
These authors contributed equally to this work.
Received: 11 January 2019 / Revised: 5 March 2019 / Accepted: 8 March 2019 / Published: 14 March 2019
Given a multivariate complex centered Gaussian vector
with non-singular covariance matrix
, we derive sufficient conditions on the nullity of the complex moments and we give a closed-form expression for the non-null complex moments. We present conditions for the factorisation of the complex moments. Computational consequences of these results are discussed.
This is an open access article distributed under the Creative Commons Attribution License
which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).
Share & Cite This Article
MDPI and ACS Style
Fassino, C.; Pistone, G.; Rogantin, M.P. Computing the Moments of the Complex Gaussian: Full and Sparse Covariance Matrix. Mathematics 2019, 7, 263.
Fassino C, Pistone G, Rogantin MP. Computing the Moments of the Complex Gaussian: Full and Sparse Covariance Matrix. Mathematics. 2019; 7(3):263.
Fassino, Claudia; Pistone, Giovanni; Rogantin, Maria P. 2019. "Computing the Moments of the Complex Gaussian: Full and Sparse Covariance Matrix." Mathematics 7, no. 3: 263.
Show more citation formats
Show less citations formats
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.
[Return to top]
For more information on the journal statistics, click here
Multiple requests from the same IP address are counted as one view.