CAJ | 학술논문

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.
복수궤변량칭위“improper”수궤변량,약타적“위”협방차진불위0,부칙칭위“proper”수궤변량.연구료오차복종독립동분포적improper복고사분포적선성회귀모형.이용겁대사연방법화2계단최소이승방법래고계회귀계수.모의표명,저2충방법여경전복판본적최소이승법유불동지처,병장해방법용우실제풍신호수거적처리.
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.