Complex Gaussian Noise Covariance Matrix?

11 June 2020 0 6K Report

Let W be an N*L complex white Gaussian noise, then C is its covariance. It is obvious that C is a diagonal matrix whose main diameter elements are "sigma2" .

Question:

Does every body know what will happen to the covariance matrix C, if we multiply W to a deterministic matrix S? (S is L*M)

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