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Wednesday 9 May 2012

Complex Gaussian Random Vector

Consider an $N$ Dimensional Complex Gaussian Random Vector $Z \in \mathbb{C}^N$, Such That

$$ Z=X+jY $$, where $X \in \mathbb{R}^N$ and $ Y \in \mathbb{R}^N$ are $N$ Dimensional Real Gaussian Random Vectors .

Covariance matrix $Q$ of $Z$ in terms of Auto Covariance and Cross Covariance Matrices of $X$ and $Y$ is Defined as:

$$ Q=E((Z-E(Z))(Z-E(Z))^H)$$

So:
$$ Q=(\Sigma_{XX}+\Sigma_{YY})-j(\Sigma_{XY}-\Sigma_{XY}^T)$$

Define $2N$ Dimensional Gaussian Random Vector $\widetilde{Z}$, as:

$$ \widetilde{Z}= \begin{bmatrix}
X\\
Y
\end{bmatrix}$$

The Covariance Matrix of $\widetilde{Z}$ is Denoted as $\widetilde{K}$, Defined as:

$$ \widetilde{K}=E((\widetilde{Z}-E(\widetilde{Z}))(\widetilde{Z}-E(\widetilde{Z}))^T)$$

So $\widetilde{K}$, In terms of Auto Covariance and Cross Covariance Matrices of $X$ and $Y$ is:

$$ \widetilde{K}=\begin{bmatrix}
\Sigma_{XX} & \Sigma_{XY} \\
\\
\Sigma_{XY}^T & \Sigma_{YY}
\end{bmatrix}$$

Now if $Z$ is Circularly Symmetric, Prove That:

$$ \widetilde{K}=\frac{1}{2}\begin{bmatrix}
Re(Q) & -Im(Q)\\
\\
Im(Q) & Re(Q)
\end{bmatrix} $$


1 comment:

  1. Plzz Notice that $Re(Q)$ Is Symmetric and $Im(Q)$ is Skew Symmetric.

    ReplyDelete