Linear and graphical models for the multivariate complex normal distribution
type: Item
instance of: scholarly article
title: Linear and graphical models for the multivariate complex normal distribution
zbMATH Open document ID: 0834.62043
author: Heide Andersen
author: Malene Højbjerre
author: Dorte Sørensen
author: Paul Eriksen
published in: Lecture Notes in Statistics
publication date: 1995-08-15T00:00:00Z
review text: This book is a comprehensive introduction to the undirected graphical models for the multivariate complex normal distribution. Distributional results of multivariate complex distributions are important tools for such a study. The theory of linear models for the multivariate complex normal distributions is obtained from the study of multivariate complex distributions. The book consists of 7 chapters and 2 appendices, the titles of which are the following: Ch. 1. Prerequisites. Ch. 2. Multivariate complex normal distribution. Ch. 3. Complex Wishart distribution and complex \(U\)-distribution. Ch. 4. Multivariate linear complex normal models. Ch. 5. Simple undirected graphs. Ch. 6. Conditional independence and Markov properties. Ch. 7. Complex normal graphical models. Appendix A. Complex matrices. Appendix B. Orthogonal projections. Although this book is the first complete presentation of the multivariate complex distributions and the first published presentation of the complex normal graphical models, it is relatively easily to read. The basic prerequisites for reading this book is acquaintance with the multivariate real normal distribution, matrix algebra, mathematical analysis, probability and statistics. I feel that the book will be very useful for many readers.
Mathematics Subject Classification ID: 62H05
Mathematics Subject Classification ID: 62-02
Mathematics Subject Classification ID: 62H10
zbMATH DE Number: 785407
zbMATH Keywords: complex Wishart distribution
zbMATH Keywords: conditional independence
zbMATH Keywords: complex matrices
zbMATH Keywords: orthogonal projections
zbMATH Keywords: complex U-distribution
zbMATH Keywords: undirected graphical models
zbMATH Keywords: multivariate complex normal distribution
zbMATH Keywords: linear models
zbMATH Keywords: multivariate complex distributions
reviewed by: Songgui Wang
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 785407