Multidimensional Gaussian probability density and its applications in the degenerate case
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We obtain an analytical expression for the probability density of the Gaussian vector with a degenerate covariance matrix. The expression generalizes a similar expression for the nondegenerate case. A definition of the Gaussian vector on the basis of a probability density, which is common for the degenerate and nondegenerate cases, is given. Examples of using the obtained probability density for the synthesis of optimal signal-processing algorithms are presented.
KeywordsProbability Density Antenna Array Arrival Direction Conditional Probability Density Gaussian Vector
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