Complex Multivariate Generalized Gaussian Distribution (CMGGD)
We present the code for generating realizations from the CMGGD [1][2], given a valid augmented covariance matrix and shape parameter based on the real-valued MGGD generation in twice the dimensions.
References:
[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.
[2] R. Mowakeaa, Z. Boukouvalas, T. Adali, & C. Cavalcante,"On the characterization, generation, and efficient estimation of the complex multivariate GGD ," IEEE Sensor Array and Multichannel Signal Processing Workshop, 2016, 1-5.
