Complex normal distribution

In probability theory, the family of complex normal distributions, denoted or , characterizes

Complex normal
complex random variables whose real and imaginary parts are jointly normal.[1] The complex normal
family has three parameters: location parameter μ, covariance matrix , and the relation matrix . Parameters
The standard complex normal is the univariate distribution with , , and . — location
— covariance matrix
An important subclass of complex normal family is called the circularly-symmetric (central) (positive semi-definite matrix)
complex normal and corresponds to the case of zero relation matrix and zero mean: and
— relation matrix (complex
.[2] This case is used extensively in signal processing, where it is sometimes referred to as just
symmetric matrix)
complex normal in the literature.
Support

Definitions PDF complicated, see text

Mean
Mode
Complex standard normal random variable
Variance
The standard complex normal random variable or standard complex Gaussian random CF
variable is a complex random variable whose real and imaginary parts are independent normally
distributed random variables with mean zero and variance .[3]: p . 494 [4]: p p. 501  Formally,

     

where denotes that is a standard complex normal random variable.

Complex normal random variable

Suppose and are real random variables such that is a 2-dimensional normal random vector. Then the complex random variable is
called complex normal random variable or complex Gaussian random variable.[3]: p . 500 

   
 

Complex standard normal random vector

A n-dimensional complex random vector is a complex standard normal random vector or complex standard Gaussian random vector
if its components are independent and all of them are standard complex normal random variables as defined above.[3]: p . 502 [4]: p p. 501  That is a standard
complex normal random vector is denoted .

   
 

Complex normal random vector

If and are random vectors in such that is a normal random vector with components. Then we say that
the complex random vector

is a complex normal random vector or a complex Gaussian random vector.

Mean, covariance, and relation

The complex Gaussian distribution can be described with 3 parameters:[5]

where denotes matrix transpose of , and denotes conjugate transpose.[3]: p . 504 [4]: p p. 500 

Here the location parameter is a n-dimensional complex vector; the covariance matrix is Hermitian and non-negative definite; and, the relation matrix or
pseudo-covariance matrix is symmetric. The complex normal random vector can now be denoted as

Moreover, matrices and are such that the matrix

is also non-negative definite where denotes the complex conjugate of .[5]

Relationships between covariance matrices

As for any complex random vector, the matrices and can be related to the covariance matrices of and via expressions

and conversely

Density function
The probability density function for complex normal distribution can be computed as

where and .

Characteristic function
The characteristic function of complex normal distribution is given by[5]

where the argument is an n-dimensional complex vector.

Properties
If is a complex normal n-vector, an m×n matrix, and a constant m-vector, then the linear transform will be distributed also
complex-normally:

If is a complex normal n-vector, then

Central limit theorem. If are independent and identically distributed complex random variables, then

where and .

The modulus of a complex normal random variable follows a Hoyt distribution.[6]

Circularly-symmetric central case

Definition

A complex random vector is called circularly symmetric if for every deterministic the distribution of equals the distribution of
.[4]: p p. 500–501 

Central normal complex random vectors that are circularly symmetric are of particular interest because they are fully specified by the covariance matrix .

The circularly-symmetric (central) complex normal distribution corresponds to the case of zero mean and zero relation matrix, i.e. and .[3]: p . 507 [7]
This is usually denoted
Distribution of real and imaginary parts

If is circularly-symmetric (central) complex normal, then the vector is multivariate normal with covariance structure

where and .

Probability density function

For nonsingular covariance matrix , its distribution can also be simplified as[3]: p . 508 

Therefore, if the non-zero mean and covariance matrix are unknown, a suitable log likelihood function for a single observation vector would be

The standard complex normal (defined in Eq.1)corresponds to the distribution of a scalar random variable with , and . Thus, the standard
complex normal distribution has density

Properties

The above expression demonstrates why the case , is called “circularly-symmetric”. The density function depends only on the magnitude of but
not on its argument. As such, the magnitude of a standard complex normal random variable will have the Rayleigh distribution and the squared magnitude
will have the exponential distribution, whereas the argument will be distributed uniformly on .

If are independent and identically distributed n-dimensional circular complex normal random vectors with , then the random squared norm

has the generalized chi-squared distribution and the random matrix

has the complex Wishart distribution with degrees of freedom. This distribution can be described by density function

where , and is a nonnegative-definite matrix.

See also
Complex normal ratio distribution
Directional statistics#Distribution of the mean (polar form)
Normal distribution
Multivariate normal distribution (a complex normal distribution is a bivariate normal distribution)
Generalized chi-squared distribution
Wishart distribution
Complex random variable

References
1. Goodman (1963)
2. bookchapter, Gallager.R (http://www.rle.mit.edu/rgallager/documents/CircSymGauss.pdf), pg9.
3. Lapidoth, A. (2009). A Foundation in Digital Communication. Cambridge University Press. ISBN 9780521193955.
4. Tse, David (2005). Fundamentals of Wireless Communication (https://books.google.com/books?id=GdsLAQAAQBAJ&q=%22random+variabl
e%22). Cambridge University Press. ISBN 9781139444668.
5. Picinbono (1996)
6. Daniel Wollschlaeger. "The Hoyt Distribution (Documentation for R package 'shotGroups' version 0.6.2)" (http://finzi.psych.upenn.edu/usr/shar
e/doc/library/shotGroups/html/hoyt.html).
 7. bookchapter, Gallager.R (http://www.rle.mit.edu/rgallager/documents/CircSymGauss.pdf)

Further reading
Goodman, N.R. (1963). "Statistical analysis based on a certain multivariate complex Gaussian distribution (an introduction)" (https://doi.org/1
0.1214%2Faoms%2F1177704250). The Annals of Mathematical Statistics. 34 (1): 152–177. doi:10.1214/aoms/1177704250 (https://doi.org/1
0.1214%2Faoms%2F1177704250). JSTOR 2991290 (https://www.jstor.org/stable/2991290).
Picinbono, Bernard (1996). "Second-order complex random vectors and normal distributions" (https://ieeexplore-ieee-org.ezp1.lib.umn.edu/do
cument/539051). IEEE Transactions on Signal Processing. 44 (10): 2637–2640. doi:10.1109/78.539051 (https://doi.org/10.1109%2F78.53905
1).

Wollschlaeger, Daniel. "ShotGroups." Hoyt. RDocumentation, n.d. Web. https://www.rdocumentation.org/packages/shotGroups/versions/0.7.1/topics/Hoyt.

Gallager, Robert G (2008). "Circularly-Symmetric Gaussian Random Vectors." (n.d.): n. pag. Pre-print. Web. 9
http://www.rle.mit.edu/rgallager/documents/CircSymGauss.pdf.

Retrieved from "https://en.wikipedia.org/w/index.php?title=Complex_normal_distribution&oldid=1090254801"