类型

随机变量

复随机变量

方差

$D\left(X\right)=E\left[{\left(X-m_X\right)}^2\right]$

$D\left(Z\right)=E\left[\left(Z-m_Z\right){\left(Z-m_Z\right)}^{*}\right]=D\left[X\right]+D\left[Y\right]$

协方差

$\mathrm{cov}\left(X,Y\right)=E\left[\left(X-E\left(X\right)\right)\left(Y-E\left(Y\right)\right)\right]$

$C_{Z_1{Z}_2}=\mathrm{cov}\left(Z_1,Z_2\right)=E\left\{\left(Z_1-m_{Z_1}\right){\left(Z_2-m_{Z_2}\right)}^{*}\right\}$