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Gaussian Random Variables and Vectors

The Gaussian Probability Density Function

This is the most important pdf for this course. It also called a normal pdf.

" #

1 (x − m)2

fX (x) = √ exp − .

σ 2π 2σ 2

It can be shown this fX integrates to 1 (i.e., it is a valid pdf), and that the mean of the random

variable X with the above pdf is m and the variance is σ 2 .

The statement “X is Gaussian with mean m and variance σ 2 ” is compactly written as “X ∼

N (m, σ 2 ).”

The cdf corresponding to the Gaussian pdf is given by

" #

x x

1 (u − m)2

Z Z

FX (x) = fX (u)du = √ exp − du.

−∞ −∞ σ 2π 2σ 2

u−m

This integral cannot be computed in closed-form, but if we make the change of variabe =v

σ

we get

Z x−m 2

σ 1 v x−m

FX (x) = √ exp − dv = Φ ,

−∞ 2π 2 σ

where Φ is the cdf of a N (0, 1) random variable, i.e.,

Z x 2

1 u

Φ(x) = √ exp − du.

−∞ 2π 2

Φ(−x) = 1 − Φ(x).

Z ∞ 2

1 u

Q(x) = 1 − Φ(x) = √ exp − du.

x 2π 2

For computing the Q function in Matlab, we may use the Matlab functions erf or erfc after

modifying them appropriately.

c

V.V. Veeravalli, 2006 1

Jointly Gaussian Random Variables

Two random variables X and Y are said to be jointly Gaussian if their joint density satisfies the

equation

(x − mX )2 2ρ(x − mX )(y − mY ) (y − mY )2

1 1

fX,Y (x, y) = exp − 2 − + .

2(1 − ρ2 ) σY2

p

2πσX σY 1 − ρ2 σX σX σY

Note that the following properties hold:

2

• X is Gaussian with mean mX and variance σX

• Y is Gaussian with mean mY and variance σY2

• The conditional densities fX|Y (x|y) and fY |X (y|x) are also Gaussian

• ρ is the correlation coefficient between X and Y . If ρ = 0, then X and Y are independent.

• Z = aX + bY is also Gaussian (what are the mean and variance of Z?)

The definition of jointly Gaussian random variables extends quite naturally to n variables X1 , X2 , . . . , Xn .

Let the vectors X and m, and matrix Σ be defined by

X1 m1 Σ11 Σ12 . . . Σ1n

X2 m2 Σ21 Σ22 . . . Σ2n

X = . m = E[X] = . Σ = E[(X − m)(X − m)⊤ ] = . .. .. ..

.. .. .. . . .

Xn mn Σn1 Σn2 . . . Σnn

where mi = E[Xi ] and Σij = cov(Xi , Xj ). Then the random variables X1 , X2 , . . . , Xn are jointly

Gaussian if their joint density is given by

1 1 ⊤ −1

f (x) = p exp − (x − m) Σ (x − m) .

(2π)n det(Σ) 2

The statement “X1 , X2 , . . . , Xn are jointly Gaussian with mean m and covariance matrix Σ” can

be compactly written as “X ∼ N (m, Σ)”.

Properties of jointly Gaussian random variables include:

• Any subset of jointly Gaussian random variables conditioned on any other subset of the

original random variables is also jointly Gaussian.

• Jointly Gaussian random variables that are uncorrelated are also independent.

• Linear combinations of jointly Gaussian random variables are also jointly Gaussian. In par-

ticular, suppose we produce the vector Y = [Y1 Y2 . . . Ym ]⊤ using the linear transformation

Y = AX, where A is an m × n matrix. Then,

Y ∼ N AmX , AΣX A⊤

i.e., Y is jointly Gaussian with mean mY = AmX , and covariance matrix ΣY = AΣX A⊤ .

c

V.V. Veeravalli, 2006 2

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