An n dimensional Gaussian vector W has a block diagonal covariance matrix where C X is m Atilde m, C Y is (n m) Atilde (n m) Show that W can be written in terms of component vectors X and Y in the form such that X and Y are independent Gaussian random vectors Cx 3D CY Cw...

As given in the problem statement we define the mdimensional ...

An n-dimensional Gaussian vector W has a block diagonal covariance matrix where C X is m Ã

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An n-dimensional Gaussian vector W has a block diagonal covariance matrix

where C_X is m Ã— m, C_Y is (n €“ m) Ã— (n €“ m). Show that W can be written in terms of component vectors X and Y in the form

such that X and Y are independent Gaussian random vectors.

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Probability and Stochastic Processes A Friendly Introduction for Electrical and Computer Engineers

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Authors: Roy D. Yates, David J. Goodman

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Question Posted: Jul 18, 2016 08:44 AM

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An n-dimensional Gaussian vector W has a block diagonal covariance matrix where C X is m Ã

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[Cx %3D CY Cw

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Probability and Stochastic Processes A Friendly Introduction for Electrical and Computer Engineers

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