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Computing the Moments of the Complex Gaussian: Full and Sparse Covariance Matrix
Claudia Fassino, Giovanni Pistone, Maria Piera Rogantin
Source abstract
Given a multivariate complex centered Gaussian vector Z = ( Z 1 , ⋯ , Z p ) with non-singular covariance matrix Σ , 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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