cov(Z, Z)=E(Z-E(Z))(Z E(Z))*. (4.10)

Theorem 4.2.1. Let Z1,…, Zn be a sequence of n complex random variables. Then

(a) cov(Z1, Z2)=(cov(Z2, Z1))*.

(b) For

Proof.

(a) Let Zj=Xj+iYj, j=1,…, n, where X1,…, Xn; Y1,…, yn are real random variables.