Random Signals and Processes

Chapter 5: Random Vectors

Dr. Mohammad Rakibul Islam

Professor, EEE Department,
Islamic University of Technology
• Introduction:
• n random variables in terms of an n-
dimensional CDF, an n-dimensional PMF, and
an n-dimensional PDF.
• marginal probability functions of subsets of n
random variables,
• n independent random variables,
independent random vectors, and
• expected values of functions of n random
variables
• Covariance matrix and correlation matrix,
• Multivariate Joint CDF:

• Multivariate Joint PMF

• Multivariate Joint PDF

• Quiz 5.1: (See also example 5.3)

• Solution:
• Random Vector Probabilily Functions:

• Probability Functions of a Pair of Random Vectors:

• Example 5.4:

• Solution:
• Marginal Probability Functions:
• Example 5.5:
• Solution:
• Solution (continued):
• Independence of Random Variables and
Random Vectors:
– N Independent Random Variables

• Example 5.6
– Self Study
• Independent and Identically Distributed (iid)
• Independent Random Vectors:
• Expected Value Vector and Correlation Matrix:
• Expected Value Vector

• Example 5.9

• Solution:
• Vector Correlation:

• Example 5.10
• Vector Covariance:

• Example 5.11
• Theorem 5.12:

• Example 5.12
– Self study
• Vector Cross-Correlation

• Vector Cross-Covariance
• Theorem 5.13:

• Example 5.13
• Solution 5.13:
• Theorem 5.14:

• Example 5.14
• Solution: