Consider an N Dimensional Complex Gaussian Random Vector Z∈CN, Such That
Z=X+jY, where X∈RN and Y∈RN 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=(ΣXX+ΣYY)−j(ΣXY−ΣTXY)
Define 2N Dimensional Gaussian Random Vector ˜Z, as:
˜Z=[XY]
The Covariance Matrix of ˜Z is Denoted as ˜K, Defined as:
˜K=E((˜Z−E(˜Z))(˜Z−E(˜Z))T)
So ˜K, In terms of Auto Covariance and Cross Covariance Matrices of X and Y is:
˜K=[ΣXXΣXYΣTXYΣYY]
Now if Z is Circularly Symmetric, Prove That:
˜K=12[Re(Q)−Im(Q)Im(Q)Re(Q)]
Z=X+jY, where X∈RN and Y∈RN 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=(ΣXX+ΣYY)−j(ΣXY−ΣTXY)
Define 2N Dimensional Gaussian Random Vector ˜Z, as:
˜Z=[XY]
The Covariance Matrix of ˜Z is Denoted as ˜K, Defined as:
˜K=E((˜Z−E(˜Z))(˜Z−E(˜Z))T)
So ˜K, In terms of Auto Covariance and Cross Covariance Matrices of X and Y is:
˜K=[ΣXXΣXYΣTXYΣYY]
Now if Z is Circularly Symmetric, Prove That:
˜K=12[Re(Q)−Im(Q)Im(Q)Re(Q)]
Plzz Notice that Re(Q) Is Symmetric and Im(Q) is Skew Symmetric.
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