Title :
Second-order complex random vectors and normal distributions
Author :
Picinbono, Bernard
Author_Institution :
Lab. des Signaux et Syst., Gif-sur-Yvette, France
fDate :
10/1/1996 12:00:00 AM
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
Keywords :
covariance matrices; normal distribution; probability; random processes; signal processing; vectors; covariance matrix; normal complex vectors; normal distributions; probability density function; relation matrix; second-order complex random vectors; second-order statistics; Array signal processing; Covariance matrix; Gaussian distribution; Probability density function; Random variables; Spectral analysis; Statistical distributions; Statistics; Symmetric matrices; Vectors;
Journal_Title :
Signal Processing, IEEE Transactions on
