A Complex Generalized Gaussian Distribution— Characterization, Generation, and Estimation

Abstract

The generalized Gaussian distribution (GGD) provides a flexible and suitable tool for data modeling and simulation, however the characterization of the complex-valued GGD, in particular generation of samples from a complex GGD have not been well defined in the literature. In this correspondence, we provide a thorough presentation of the complex-valued GGD by: (i) constructing the probability density function (pdf); (ii) defining a procedure for generating random numbers from the complex-valued GGD; and (iii) implementing a maximum likelihood estimation (MLE) procedure for the shape and covariance parameters in the complex domain. We quantify the performance of the MLE with simulations and actual radar data.