Second-order complex random vectors and normal distributions

Authors:
B. Picinbono
Affiliations:
Lab. des Signaux et Syst., Gif-sur-Yvette
Venue:
IEEE Transactions on Signal Processing
Year:
1996

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Abstract

Complex random vectors are usually described by their covariance matrix. This is insufficient for a complete description of second-order statistics, and another matrix called the relation matrix is necessary. Some of its properties are analyzed and used to express the probability density function of normal complex vectors. Various consequences are presented