Correlation Analysis of Complex Random Variables

Sergey Svetunkov () and Ivan Svetunkov ()
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Sergey Svetunkov: Peter the Great St. Petersburg Polytechnic University
Ivan Svetunkov: Lancaster University Management School

Chapter Chapter 3 in Complex-Valued Econometrics with Examples in R, 2024, pp 49-61 from Springer

Abstract: Abstract Chapter 3 delves into correlation analysis using complex random variables. It discusses how to visualize and compute correlations between complex-valued data, a process complicated by the multidimensional nature of such variables. The chapter emphasizes different types of correlation coefficients: conjugate, direct, and Pearson’s - and how these relate to complex data analysis. It also introduces the complex correlation matrix, enhancing understanding of inter-variable relationships in complex-valued data sets.

Date: 2024
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DOI: 10.1007/978-3-031-62608-1_3

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