This video extends the concept of statistical descriptors of probability
density functions to random vectors or multiple random variables. It
introduces the concept of correlation, and how this relates to the
dependency of the random variables. The mean vector and correlation
matrix are introduced in detail with careful attention to the exact
meaning of these expectations. An example of calculating these values
for a given joint-pdf is covered carefully. Finally, the notion of
statistical orthogonality is mentioned, although this will be covered in
another video.
PGEE11164 Probability, Estimation Theory, and Random Signals Lectures -- School of Engineering, University of Edinburgh. Copyright James R. Hopgood and University of Edinburgh, Scotland, United Kingdom (UK). 2020.
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