Orthogonal Functions and Transforms

NOTE:

Two random vectors Xi and Xj are

• Uncorrelated if E {X’I Xj} = E {X’I} E{Xj}

(then ? is diagonal and R is the identity matrix}

• Orthogonal if E {X’I Xj} = 0

(if E {X’I} = 0 or E {X’I} = 0, orthogonal = uncorrelated)

• Statistically independent if p(Xi,Xj) = p(Xi)p(Xj)

(then Xi and Xj are uncorrelated).

Previous slide

Next slide

Back to first slide

View graphic version