Given a multivariate complex centered Gaussian vector Z = (Z1, . . . , Zp) with non-singular covariance matrix S, we derive sufficient conditions on the nullity of the complex moments and we give a closed-form expression for the non-null complex moments. We present conditions for the factorisation of the complex moments. Computational consequences of these results are discussed.
Computing the Moments of the Complex Gaussian: Full and Sparse Covariance Matrix
Fassino, Claudia;Rogantin, Maria Piera
2019-01-01
Abstract
Given a multivariate complex centered Gaussian vector Z = (Z1, . . . , Zp) with non-singular covariance matrix S, we derive sufficient conditions on the nullity of the complex moments and we give a closed-form expression for the non-null complex moments. We present conditions for the factorisation of the complex moments. Computational consequences of these results are discussed.
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