Complex Generalized Gaussian Distribution (CGGD)

We present the code for generating realizations from the CGGD [1], estimating the shape parameter and covariance matrix using an MLE, and a hypothesis test for circularity and non-Gaussianity [2] based on the CGGD.


[1] M. Novey, T. Adali, and A. Roy, "A complex generalized Gaussian distribution- characterization, generation, and estimation," IEEE Trans. Signal Processing, vol. 58, no. 3, part. 1, pp. 1427-1433, March 2010.
The version that corrects a typo in equation (7)
[2] M. Novey, T. Adali, and A. Roy, " Circularity and Gaussianity detection using the complex generalized Gaussian distribution," IEEE Signal Proc. Letts., vol. 16, no. 11, pp. 993-996, Nov. 2009.