Second-Order Complex Random Vectors and Normal Distributions

Bernard Picinbono (1)

1 L2S - Laboratoire des signaux et systèmes

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 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. S

Domaines: Sciences de l'ingénieur [physics]; Traitement du signal et de l'image [eess.SP]

Bernard Picinbono. Second-Order Complex Random Vectors and Normal Distributions. IEEE Transactions on Signal Processing, 1996, 44, pp.2637 - 2640. ⟨hal-01736682⟩