[Numpy-tickets] [NumPy] #638: var should take absolute value for complex numbers.

NumPy numpy-tickets@scipy....
Sat Jan 12 02:45:05 CST 2008


#638: var should take absolute value for complex numbers.
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 Reporter:  akumar       |        Owner:  somebody
     Type:  defect       |       Status:  new     
 Priority:  normal       |    Milestone:  1.0.5   
Component:  numpy.core   |      Version:  none    
 Severity:  normal       |   Resolution:          
 Keywords:  var complex  |  
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Comment (by cdavid):

 I though a bit about it since the discussion on the numpy ML, and I have
 to say I disagree with Robert on this one. I don't think the only
 meaningful definition is to treat C as R^2. Variance is a special case of
 covariance, and for complex random variables, covariance of X and Y,
 assuming they are centered, is E[X conj(Y)] with conj(Y) the conjugate of
 Y. This is the definition used in statistical signal processing (at least
 the one I have always seen)

 When considering complex random variables, it is often assumed some kind
 of properties of the real part and the complex part (such as they have the
 same variance, for example). For example, if you use complex Gaussian
 random variables, by definition, Z = X + jY, with X and Y independent
 Gaussian and same variance \sigma, Z have a variance equal to 2 * \sigma
 variance, that is the trace of the covariance matrix of the real random
 vector (X, Y), also obtained using the definition \sigma_Z \triangleq
 \mathbb{E}[Z  \bar{Z}]. With Robert's definition, even for scalar complex
 random variables, the density of a complex normal would involve matrices:
 having a definition using only scalar is more appealing IMHO.

 Those 2 arguments, variance as a special case of the covariance of two
 variable, and staying scalar for complex random variables seem pretty
 strong to me.

-- 
Ticket URL: <http://scipy.org/scipy/numpy/ticket/638#comment:11>
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