Linear Transformation of Gaussian Random
Variables
Consider a set of N Gaussian random variables 𝑿𝟏 , 𝑿𝟐 , … , 𝑿𝑵 with
joint density function
Let these random variables be linearly transformed to a new set of
random variables 𝒀𝟏 , 𝒀𝟐 , … , 𝒀𝑵 using the following relation
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Linear Transformation of Gaussian Random
Variables
The above equation can be represented in matrix form as
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Linear Transformation of Gaussian Random
Variables
whose inverse is given by
3 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Linear Transformation of Gaussian Random
Variables
From the above equation we can find
In general, we can write
4 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Linear Transformation of Gaussian Random
Variables
We can write
5 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Linear Transformation of Gaussian Random
Variables
If [CX] represents the covariance matrix of random variables X1, X2,
…, XN then ijth element of the covariance matrix CXiXj can be
obtained as
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Linear Transformation of Gaussian Random
Variables
The joint density function
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Tutorial Example
Zero-mean Gaussian random variables X1 and X2 having a covariance
matrix
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Tutorial Example
SOLUTION
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Tutorial Example
1.074
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Tutorial Example
Zero-mean Gaussian random variables X1 and X2 for which
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Tutorial Example
SOLUTION
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Tutorial Example
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Complex Random Variables
A complex random variable Z is defined as
𝒁 = 𝑿 + 𝒋𝒀
where X and Y are real random variables and 𝑗 = −1
If the joint density function of random variables X and Y is 𝒇𝑿𝒀 (𝒙, 𝒚)
then the expected value of some function of Z is given by
The mean value of Z is
The variance of Z is
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Complex Random Variables
Consider two complex random variables
𝒁𝟏 = 𝑿𝟏 + 𝒋𝒀𝟏 ; 𝒁𝟐 = 𝑿𝟐 + 𝒋𝒀𝟐
Let the joint density function be 𝒇𝑿𝟏 𝒀𝟏 𝑿𝟐𝒀𝟐 (𝒙𝟏 , 𝒚𝟏 , 𝒙𝟐 , 𝒚𝟐 )
If 𝒁𝟏 and 𝒁𝟐 are independent random variables,
The correlation between 𝒁𝟏 and 𝒁𝟐 is given by
and covariance is
If 𝒁𝟏 and 𝒁𝟐 are uncorrected random variables then,
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Tutorial Example
A complex random variable Z is defined by 𝑍 = cos 𝑋 + 𝑗 sin 𝑌
where X and Y are independent real random variables uniformly
distributed from –π to π.
(a) Find the mean value of Z.
(b) Find the variance of Z.
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Tutorial Example
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Tutorial Example
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Tutorial Example
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