Abstract
Complex Wishart matrices are a key part of many multidimensional signal processing algorithms, and expectations of expressions containing them are needed to quantify their performance. In this paper we derive concise formulas forE{WAW},E{W −1 AW −1}, and other useful expressions, whereW follows the complex Wishart distribution andA is a deterministic matrix.A need not be symmetric. We show how the results can be used to quantify the performance of adaptive array processing algorithms.
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Tague, J.A., Caldwell, C.I. Expectations of useful complex Wishart forms. Multidim Syst Sign Process 5, 263–279 (1994). https://doi.org/10.1007/BF00980709
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DOI: https://doi.org/10.1007/BF00980709