riecovest.random_matrices.sample_elliptic_distribution

riecovest.random_matrices.sample_elliptic_distribution(mean, covariance, rank, rng, num_samples)

Samples a central Elliptic distribution with given mean and scatter matrix.

See Theorem 3 of [ollilaComplex2012]

Parameters:

  • mean (complex ndarray of shape (dim,)) – Mean of the distribution.

  • covariance (complex ndarray of shape (dim, dim)) – Covariance matrix of the distribution.

  • rank (int) – Rank of the low-rank Cholesky factor of the covariance matrix.

  • rng (numpy.random.Generator) – Random number generator.

  • num_samples (int) – Number of samples to draw.

Returns:

sample – Samples from the specified distribution.

Return type:

ndarray of shape (dim, num_samples)

References

[ollilaComplex2012] E. Ollila, D. E. Tyler, V. Koivunen, and H. V. Poor, “Complex elliptically symmetric distributions: survey, new results and applications,” IEEE Transactions on Signal Processing, vol. 60, no. 11, pp. 5597–5625, Nov. 2012, doi: 10.1109/TSP.2012.2212433.