| 复值型数据Improper线性回归模型的估计(英文) |
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| 引用本文： | 闫长君,张三国,宁炜.复值型数据Improper线性回归模型的估计(英文)[J].中国科学院研究生院学报,2012,29(2):145-153. |
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| 作者姓名： | 闫长君 张三国 宁炜 |
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| 作者单位： | 1. 中国科学院研究生院数学科学学院,北京,100049
2. 鲍灵格林州立大学数学与统计系,OH 43403 USA |
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| 基金项目： | Supported by National Natural Science Foundation of China(10801133);President Foundation of GUCAS |
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| 摘 要： | 复随机变量称为"improper"随机变量,若它的"伪"协方差阵不为0,否则称为"proper"随机变量.研究了误差服从独立同分布的improper复高斯分布的线性回归模型.利用极大似然方法和2阶段最小二乘方法来估计回归系数.模拟表明,这2种方法与经典复版本的最小二乘法有不同之处,并将该方法用于实际风信号数据的处理.
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| 关 键 词： | 复值型数据 improper 复高斯分布 |
Estimations of the improper linear regression models with complex-valued data |
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| YAN Chang-Jun
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ZHANG San-Guo
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NING Wei.Estimations of the improper linear regression models with complex-valued data[J].Journal of the Graduate School of the Chinese Academy of Sciences,2012,29(2):145-153. |
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| Authors: | YAN Chang-Jun ZHANG San-Guo NING Wei |
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| Institution: | 1 Graduate University,Chinese Academy of Sciences,Beijing 100049,China;2 Department of Mathematics and Statistics,Bowling Green State University,OH 43403,USA) |
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| Abstract: | A complex-valued random variable is improper if its complementary covariance is not 0,otherwise it is proper.In this paper,we consider the linear regression models whose errors are independent and identically distributed following an improper complex Gaussian distribution.Such a model may be encountered in signal processing.We use the maximum likelihood method and the two-stage least squares method to estimate the regression coefficients.Differences between these two methods and the complex version of least squares estimates are investigated by simulations.A wind data set is used to illustrate the proposed approach. |
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| Keywords: | complex-valued data improper complex Gaussian distribution |
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