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On the distribution of the magnitude-squared coherence estimator. (English) Zbl 1163.62328

Summary: An analytical derivation of the distribution of the magnitude-squared coherence (MSC) estimator is presented, assuming an elliptically symmetric joint density for the sequence or random observations on which the MSC is to be based.

MSC:

62H10 Multivariate distribution of statistics
62H12 Estimation in multivariate analysis
15B52 Random matrices (algebraic aspects)
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