Advances and Applications in Statistics
Volume 10, Issue 2, Pages 195 - 200
(December 2008)
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ON THE DISTRIBUTION OF THE MAGNITUDE-SQUARED COHERENCE ESTIMATOR
A. K. Gupta (USA) and D. G. Kabe (Canada)
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Abstract: An analytical derivation of the distribution of the magnitude-squared coherence (MSC) estimator is presented, assuming elliptically symmetric joint density for the sequence or random observations on which the MSC is to be based. |
Keywords and phrases: Sverdrup’s lemma, multiple correlation coefficient, signal processing. |
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