ABSTRACT
Q.E.D. Definition 4.2.2. A univariate complex normal random variable is a complex
random variable Z=X+iY such that the distribution of is a bivariate normal.
The probability density function of Z can be written as
where a=µ+iv=E(Z). Definition 4.2.3. A p-variate complex random vector
with Zj=Xj+iYj is a p-tuple of complex normal random variables Z1,…, Zp such that the real 2p-vector (X1,…, Xp, Y1,…, Yp)' has a 2p-variate normal distribution.
