On the Complex Analogues of $T^2$- and $R^2$-Tests
On the Complex Analogues of $T^2$- and $R^2$-Tests
Let $\xi$ be a complex Gaussian random variable with mean $E(\xi) = \alpha$ and Hermitian positive definite complex covariance matrix $\Sigma = E(\xi - \alpha)(\xi - \alpha)^\ast$, where $(\xi - \alpha)^\ast$ is the adjoint of $(\xi - \alpha)$. Its probability density function is given by \begin{equation*}\tag{(0.1)}p(\xi \mid \alpha, \Sigma) = …