M Quadratic and Linear Forms of Correlated Random Variables

This work in this Section is due to Nuttall [42]. The second-order statistics of correlated Gaussian random variables (RVs) constitute an important set of statistics. Examples include the ACF estimates of a correlated Gaussian process or the magnitude-squared output samples of a linear filter. Applications exist in SONAR and RADAR detection and estimation problems. Examples include both cyclic and non-cyclic ACF estimates of dependent Gaussian noise samples.


Baggenstoss 2017-05-19