Testing for impropriety of multivariate complex random processes

@article{Tugnait2016TestingFI,
  title={Testing for impropriety of multivariate complex random processes},
  author={Jitendra K. Tugnait and Sonia A. Bhaskar},
  journal={2016 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP)},
  year={2016},
  pages={4264-4268}
}
We consider the problem of testing whether a complex-valued vector random sequence is proper. Past work on this problem is limited to a sequence of independent Gaussian random vectors whereas we allow an arbitrary stationary vector sequence that can be non-Gaussian. A binary hypothesis testing approach is formulated and a generalized likelihood ratio test (GLRT) is derived using the power spectral density estimator of an augmented sequence. An asymptotic analytical solution for calculating the… CONTINUE READING

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