Widely linear system of equations, revisited

It seems I just cannot stop talking about widely linear equations. Sorry for being to monotonous. My colleague Dominik recently made me aware of the fact that it is possible to solve the widely linear system of equations $$\ma{A} \cdot \ma{x} + \ma{B} \cdot \ma{x}^* = \ma{c}$$ that I already visited in an earlier […]

Widely Linear Least Squares

Together with my colleague Jens I recently stumbled across a widely linear estimation problem. More precisely, we were trying to estimate a vector $\ma{x} \in \compl^{N}$ such that $\ma{C} \cdot \begin{bmatrix}\ma{x}\\ \ma{x}^*\end{bmatrix}$ was as close as possible to a given $\ma{b} \in \compl^{M}$ for a given matrix $\ma{C} \in \compl^{M \times 2N}$. This is not […]

Fun with statistics – transformations of random variables part 2

I recently posted on how to find the distribution of functions of random variables, i.e., the distribution of $Y=g(X)$, where $X$ is a random variable with known distribution and $y=g(x)$ is some function.   As a natural extension of this concept we may ask ourselves what happens if we have two random variables involved. Let […]

Widely linear systems of equations

I would strongly assume that this must exist already somewhere but I couldn’t find the solution so I thought it would be interesting to post it here. The closest to this I could find is widely linear estimation (e.g., Picinbono, TSP, 1995), but it’s not quite the same. Consider the following widely linear system of […]

… and a simpler proof for it

A much simpler proof for the more generic algebraic rule on manipulating quadratic forms I posted recently just became apparent to me. All you need to do is to first show that $${\rm trace}\{\ma{A}^{\rm H} \cdot \ma{B}\} = {\rm vec}\{\ma{A}\}^{\rm H} \cdot {\rm vec}\{\ma{B}\},$$ which is fairly easy because both represent a short-hand notation for […]