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Unformatted text preview: y are related by: y = Hx + z , where H is an n by m matrix that is not random, x is jointly Gaussian with N (0; K x ) and z is additive Gaussian noise N (0; K z ). The noise is independent of the signal x . (a) Let u = [ x T ; y T ] T . Show that u is jointly Gaussian. (b) Find a simple condition on H , K x and K z for which the covariance matrix K u of u is invertible. (c) Find the conditional distribution of the input x given the output y = y ? 5. Show that a circularly symmetric complex Gaussian random variable must have i.i.d. real and imaginary components....
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This note was uploaded on 11/28/2010 for the course EE 301 taught by Professor Gfung during the Winter '10 term at National Chiao Tung University.
- Winter '10