a) Let W be a normalized IID Gaussian n-rv and let Y be a Gaussian mrv. Suppose we would like the…
a) Let W be a normalized IID Gaussian n-rv and let Y be a Gaussian mrv. Suppose we would like the cross covariance E[WYT] to be some arbitrary real valued n by m matrix [K]. Find the matrix [A] such that Y = [A]W achieves the desired cross covariance. Note: this shows that any real valued n by m matrix is the cross covariance matrix for some choice of random vectors.
