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:
$$ \widetilde{K}=\frac{1}{2}\begin{bmatrix}
Re(Q) & -Im(Q)\\
\\
Im(Q) & Re(Q)
\end{bmatrix} $$
$$ Z=X+jY $$, 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:
$$ \widetilde{K}=\frac{1}{2}\begin{bmatrix}
Re(Q) & -Im(Q)\\
\\
Im(Q) & Re(Q)
\end{bmatrix} $$
Plzz Notice that $Re(Q)$ Is Symmetric and $Im(Q)$ is Skew Symmetric.
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