riecovest.random_matrices

Functions for randomly sampling vectors and positive matrices.

Functions

random_covariance(dim, rank[, complex_data, rng])	Samples a random covariance matrix with given rank.
random_signal_and_noise_covariance(dim, ...)	Samples a random signal and noise covariance matrix with given signal rank and signal-to-noise ratio.
real_gaussian_from_complex(mean, cov)	Converts mean and covariance of a complex Gaussian distribution to mean and covariance of a real Gaussian distribution.
sample_complex_gaussian(mean, cov, rng, ...)	Sample from a complex Gaussian distribution with given mean and covariance matrix.
sample_complex_t_distribution(mean, ...)	Sample from a complex t-distribution with given mean, covariance matrix and degrees of freedom.
sample_elliptic_distribution(mean, ...)	Samples a central Elliptic distribution with given mean and scatter matrix.
sample_real_gaussian(mean, cov, rng, num_samples)	Sample from a real Gaussian distribution with given mean and covariance matrix.
sample_real_t_distribution(mean, cov, rng, ...)	Sample from a real t-distribution with given mean, covariance matrix and degrees of freedom.