The Complex Multivariate Gaussian Distribution

Robin K. S. Hankin

doi:10.32614/RJ-2015-006

The Complex Multivariate Gaussian Distribution

Here I introduce package cmvnorm, a complex generalization of the mvtnorm package. A complex generalization of the Gaussian process is suggested and numerical results presented using the package. An application in the context of approximating the Weierstrass σ-function using a complex Gaussian process is given.

CRAN packages used

cmvnorm, mvtnorm, emulator

CRAN Task Views implied by cited packages

Distributions, Finance, Multivariate

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Citation

For attribution, please cite this work as

Hankin, "The Complex Multivariate Gaussian Distribution", The R Journal, 2015

BibTeX citation

@article{RJ-2015-006,
  author = {Hankin, Robin K. S.},
  title = {The Complex Multivariate Gaussian Distribution},
  journal = {The R Journal},
  year = {2015},
  note = {https://doi.org/10.32614/RJ-2015-006},
  doi = {10.32614/RJ-2015-006},
  volume = {7},
  issue = {1},
  issn = {2073-4859},
  pages = {73-80}
}