Here I introduce package cmvnorm, a complex generalization of the mvtnorm package. A complex generalization of the Gaussian process is suggested and numerical results presented using the package. An application in the context of approximating the Weierstrass σ-function using a complex Gaussian process is given.
Distributions, Finance, Multivariate
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For attribution, please cite this work as
Hankin, "The R Journal: The Complex Multivariate Gaussian Distribution", The R Journal, 2015
BibTeX citation
@article{RJ-2015-006,
author = {Hankin, Robin K. S.},
title = {The R Journal: The Complex Multivariate Gaussian Distribution},
journal = {The R Journal},
year = {2015},
note = {https://doi.org/10.32614/RJ-2015-006},
doi = {10.32614/RJ-2015-006},
volume = {7},
issue = {1},
issn = {2073-4859},
pages = {73-80}
}