In
probability theory
Probability theory is the branch of mathematics concerned with probability. Although there are several different probability interpretations, probability theory treats the concept in a rigorous mathematical manner by expressing it through a set o ...
and
statistics
Statistics (from German language, German: ''wikt:Statistik#German, Statistik'', "description of a State (polity), state, a country") is the discipline that concerns the collection, organization, analysis, interpretation, and presentation of ...
, a complex random vector is typically a
tuple
In mathematics, a tuple is a finite ordered list (sequence) of elements. An -tuple is a sequence (or ordered list) of elements, where is a non-negative integer. There is only one 0-tuple, referred to as ''the empty tuple''. An -tuple is defi ...
of
complex
Complex commonly refers to:
* Complexity, the behaviour of a system whose components interact in multiple ways so possible interactions are difficult to describe
** Complex system, a system composed of many components which may interact with each ...
-valued
random variable
A random variable (also called random quantity, aleatory variable, or stochastic variable) is a mathematical formalization of a quantity or object which depends on random events. It is a mapping or a function from possible outcomes (e.g., the po ...
s, and generally is a random variable taking values in a
vector space
In mathematics and physics, a vector space (also called a linear space) is a set whose elements, often called ''vectors'', may be added together and multiplied ("scaled") by numbers called '' scalars''. Scalars are often real numbers, but can ...
over the
field
Field may refer to:
Expanses of open ground
* Field (agriculture), an area of land used for agricultural purposes
* Airfield, an aerodrome that lacks the infrastructure of an airport
* Battlefield
* Lawn, an area of mowed grass
* Meadow, a grass ...
of complex numbers. If
are complex-valued random variables, then the ''n''-tuple
is a complex random vector. Complex random variables can always be considered as pairs of real random vectors: their real and imaginary parts.
Some concepts of real random vectors have a straightforward generalization to complex random vectors. For example, the definition of the
mean
There are several kinds of mean in mathematics, especially in statistics. Each mean serves to summarize a given group of data, often to better understand the overall value (magnitude and sign) of a given data set.
For a data set, the ''arithme ...
of a complex random vector. Other concepts are unique to complex random vectors.
Applications of complex random vectors are found in
digital signal processing
Digital signal processing (DSP) is the use of digital processing, such as by computers or more specialized digital signal processors, to perform a wide variety of signal processing operations. The digital signals processed in this manner are ...
.
Definition
A complex random vector
on the
probability space
In probability theory, a probability space or a probability triple (\Omega, \mathcal, P) is a mathematical construct that provides a formal model of a random process or "experiment". For example, one can define a probability space which models t ...
is a
function
Function or functionality may refer to:
Computing
* Function key, a type of key on computer keyboards
* Function model, a structured representation of processes in a system
* Function object or functor or functionoid, a concept of object-oriente ...
such that the vector
is a
real random vector on
where
denotes the real part of
and
denotes the imaginary part of
.
Cumulative distribution function
The generalization of the cumulative distribution function from real to complex random variables is not obvious because expressions of the form
make no sense. However expressions of the form
make sense. Therefore, the cumulative distribution function