Title :
A Variance Equality Test for Two Correlated Complex Gaussian Variables With Application to Spectral Power Comparison
Author :
Medkour, Tarek ; Walden, Andrew T.
Author_Institution :
Dept. of Math., Imperial Coll. London
fDate :
3/1/2007 12:00:00 AM
Abstract :
Complex-valued Gaussian distributions occur frequently in signal processing. We derive a simple statistic, independent of any complex-valued correlation, for testing for the equality of variances using a sample drawn from such a bivariate distribution. The percentage points of the distribution are easy to compute. The power of the test is determined and shown to be high even for very small sample sizes when the variables are highly correlated. The new test is used to determine whether the spectral power associated with an ultralow-frequency wave in the solar magnetic field is equal at two different observing spacecraft
Keywords :
Gaussian distribution; signal processing; spectral analysis; testing; bivariate distribution; complex-valued Gaussian distributions; correlated complex Gaussian variables; signal processing; solar magnetic field; spectral power comparison; ultralow-frequency wave; variance equality test; Acoustic testing; Associate members; Distributed computing; Gaussian distribution; Magnetic fields; Radar signal processing; Random variables; Space vehicles; Statistical analysis; Statistical distributions; Complex bivariate Gaussian distribution; hypothesis test; power of test; spectrum estimation;
Journal_Title :
Signal Processing, IEEE Transactions on
DOI :
10.1109/TSP.2006.887558
