This video builds on the Statistical Descriptors introduced in Topic 35
by discussing the covariance matrix, the correlation coefficient, and
then the cross-correlation and cross-covariance matrices for multiple
random vectors. The properties of these matrices are discussed,
including uncorrelatedness, followed by an example of calculating the
cross-correlation of the sum of random vectors.
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.
Institute for Digital Communications, Alexander Graham Bell Building, The King's Buildings, Thomas Bayes Road, Edinburgh, EH9 3JL. UK.