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.
References:
[1] M. Novey, T. Adali and A. Roy, "A Complex Generalized Gaussian Distribution?Characterization, Generation, and Estimation," submitted to IEEE Transactions on Signal Processing, 2009 Trans. on Signal Processing.
[2] M. Novey, T. Adali and A. Roy, "Circularity and Gaussianity detection using the complex generalized Gaussian distribution," IEEE Signal Processing, Dec. 2009. Letters.
