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Wednesday, 9 May 2012

Complex Gaussian Random Vector

Consider an N Dimensional Complex Gaussian Random Vector ZCN, Such That

Z=X+jY, where XRN and YRN 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((ZE(Z))(ZE(Z))H)

So:
Q=(ΣXX+ΣYY)j(ΣXYΣTXY)

Define 2N Dimensional Gaussian Random Vector ˜Z, as:

˜Z=[XY]

The Covariance Matrix of ˜Z is Denoted as ˜K, Defined as:

˜K=E((˜ZE(˜Z))(˜ZE(˜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)]


1 comment:

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

    ReplyDelete