2019-09

Probability Density Functions of Imaginary and Complex Random

Variables

Hugo Hernandez
ForsChem Research, 050030 Medellin, Colombia
hugo.hernandez@forschem.org

doi: 10.13140/RG.2.2.20867.66083

Abstract

In this report, the probability density functions of imaginary and complex random variables are
determined in terms of the probability density function of real random variables. Equivalent
expressions of the change of variable theorem are obtained in both cases. While real
probability density functions have always real positive values, the probability density functions
of imaginary random variables are found to be always imaginary negative. Furthermore,
complex random functions of a single variable can be described by complex probability density
functions with positive real parts and negative imaginary parts (using a proposed modified
absolute value operator for complex numbers). The probability density functions of complex
random variables with independent random components are differential values which tend to
zero, and therefore, they must be described using probability density density functions.
Standard transformations of imaginary and complex random variables can be defined similarly
to real standard transformations but using Hadamard (element-wise) operations. The standard
normal imaginary and standard normal complex random variables are presented as examples.
The behavior of the square root of zero-mean random variables is also presented and analyzed.

Keywords

Change of Variable, Complex Numbers, Imaginary Unit, Normal Distribution, Probability

Density, Randomistics, Standard Transformation

1. Introduction

Even though the problem with the roots of negative numbers dates back to Ancient Greece,
imaginary and complex numbers first appeared in Italy in the 16th century when certain
particular polynomial equations needed to be solved.[1] While complex numbers have several

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 Probability Density Functions of Imaginary
and Complex Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

applications in different fields of physics and engineering,[2] they usually remain only as
mathematical curiosities and are neglected in other fields of knowledge. Probability theory is
one of those fields, where imaginary and complex numbers are usually out of the picture, with
only very few exceptions.[3-6]

A complex number is defined as the sum of one real number and one imaginary number. In
general, a complex number can be expressed as:

(1.1)
where and are real numbers and
√
(1.2)

is the imaginary unit. From the definition given in Eq. (1.2) different interesting results can be
derived, a small selection of which is summarized in Table 1.

Table 1. Summary of Relevant Mathematical Properties of the Imaginary Unit

( )

()

√ ( ) ( )
√
( ) ( )

The purpose of this report is to discuss the behavior of the probability density function of
imaginary and complex random variables, highlighting the differences with respect to
conventional real-numbers probability theory.

2. Probability Density Functions of Imaginary Random Variables

Let us first assume that we have a certain random variable whose values are only imaginary.
For such variable, there exists a random variable with only real values such that:

(2.1)

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 Probability Density Functions of Imaginary
and Complex Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Since there is only one possible imaginary value for each real value , it can be concluded
that they have the same probability of occurrence, and therefore:

( ) ( ) ( ) ( )
(2.2)

From which the corresponding change of variable formula is obtained:[7]

( ) ( )( ) ( )( )
(2.3)
Let us now consider the derivative:
( )

(2.4)
Thus, Eq. (2.3) becomes:
( ) ( )
(2.5)

Since ( ) is always a positive real number, ( ) is always a negative imaginary

number.

Furthermore,
( )
∫ ( ) ∫ ( )( ) ∫ ( )
( )
(2.6)

Thus, even though the probability density function of an imaginary number is a negative
imaginary number, its integral (or zero-th moment) is exactly 1. Furthermore, it can be seen
that the negative value of the imaginary part is a necessary condition for obtaining a consistent
result on the integral of the probability density function.

The expected value (first moment) of the imaginary random variable will be:

( )
( ) ∫ ( ) ∫ ( )( ) ( )( ) ∫ ( ) ( )
( )
(2.7)
Similarly, the second raw moment of the imaginary random variable will be:

( )
( ) ∫ ( ) ∫ ( ) ( ) ( )( ) ∫ ( ) ( )
( )
(2.8)

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 Probability Density Functions of Imaginary
and Complex Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Therefore, the variance of is:

( ) ( ) ( ( )) ( ) ( ( )) ( ( ) ( ( )) ) ( )
(2.9)

In general, the -th integer moment of the imaginary random variable will be:

( ) ∫ ( ) ( )

(2.10)
where

( ) ( ) {

(2.11)
and represents the modulo operator (remainder after division).

Furthermore, any -th real moment will be:

( ) ( ( ) ( )) ( )
(2.12)

3. Probability Density Functions of Complex Random Variables

Let us now consider the more general complex random variable , which can be described as
the sum of two different random variables (real) and (imaginary) as follows:

(3.1)

Using the equivalent Eq. (2.1) we get an expression in terms of two real random variables:

(3.2)
Please notice that and may be dependent or independent from each other.

3.1. Dependent Random Components

In the first case, if can be expressed as a real function ( ), then Eq. (3.2) becomes:

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 Probability Density Functions of Imaginary
and Complex Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

( ) ( )
(3.3)
where ( ) represents a complex function of .

Then, the corresponding change of variable expression becomes:

( )
( ) ( ( )) {| |}

(3.4)
where ( ) is the inverse function of ( ), and the operator {| |} indicates a modified
absolute value operator, such that for any complex number ( ) we get:

{| |} | ( )| | ( )| | | | |
(3.5)

Such modified absolute value operator will guarantee the consistency of the definition of
probability density functions for both real and imaginary components.

Furthermore, it can be noticed that the probability density function of a complex random
variable is also complex.

Please notice that Eq. (3.4) can only be used if the complex function is invertible. Otherwise,
there is no explicit analytic solution and a numerical approach is required.[7]

3.2. Independent Random Components

In this case, the probability of the complex random variable depends on the probability of both
components as follows:

( ) ( ) ( ) ( ) ( ) ( )
(3.6)
where (from previous results):

( ) ( ) ( )
(3.7)
( ) and ( ) being positive functions, and .

Thus,
( ) ( ) ( ( ) ( )) ( ) ( ) ( )
(3.8)
Since ( ) is real, then

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 Probability Density Functions of Imaginary
and Complex Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

( ) ( ) ( ) ( )
(3.9)
( ) ( )
(3.10)
The solution to Eq. (3.8) is therefore:

( ) ( )
( ) ( ) ( ) ( )

(3.11)
( ) ( )
( ) ( ) ( ) ( )

(3.12)
Thus, the probability density function of a complex random variable when the independent
probability density functions of the individual components are known tends to:

( ) ( ) ( ) ( ) ( ) ( )
( ) ( )
( ( )) ( ( ))
( )
(3.13)
where
( ( )) ( ( ))
( )
(3.14)
is the probability density density function of the complex random variable .

It is possible to calculate its corresponding moments and distribution properties, using the
following general expression (for the -th moment):

( ) ( ) ( ) ( )
( ) ∫ ( ) ( )( )

∫ ∫ ( ) ( ) ( )

(3.15)

Alternatively, equivalent expressions for the moments of the complex random variable can be
obtained from Eq. (3.2) as follows:

( ) (( ) ) (∑ ( ) ) ∑( ) ( )

(3.16)

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 Probability Density Functions of Imaginary
and Complex Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

For independent real random variables and :

( ) ∑( ) ( ) ( )

(3.17)

4. Standard Imaginary and Complex Random Variables

Standard transformations are useful methods for describing and understanding random
variables, at least for real random variables.[9] In this Section equivalent definitions of the
standard imaginary and standard complex random variables will be proposed.

4.1. Standard Imaginary Random Variables

First of all, let us consider that any real random variable can be expressed in terms of a Type I
standard random variable as follows:

(4.1)
Then, Eq. (2.1) becomes:

(4.2)
Now, since:
( )
(4.3)
and
√ ( )
(4.4)

are both imaginary, and given that any standard imaginary random variable should necessarily
be imaginary, then it is possible to say that:

(4.5)

Please notice that the Hadamard product ( ) is used, by representing imaginary and complex
variables as vectors,[10] such that:

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 Probability Density Functions of Imaginary
and Complex Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

( ) ( ) ( ) ( ) ( )
[ ] [ ] [ ] [ ] [ ]
( ) ( ) ( ) ( ) ( )
[ ]
( )
(4.6)
Now, since from Eq. (4.2):
( )
[ ] [ ]
( )
(4.7)
Then, it can be concluded that:

(4.8)

That is, the imaginary standard random variable corresponds to the product of the imaginary
unit and the corresponding real standard random variable.

In other words, the Type I imaginary standard transformation corresponds to:

( ( )) ( )
(4.9)
where the operator represents Hadamard division (element-wise), and is Hadamard
square root.

Please notice that:

( ) ( )
(4.10)
( ) ( )
(4.11)

( ) √ ( ) √ ( ) √
(4.12)

Thus, the Type I standard imaginary random variable is an imaginary random variable with
mean and standard deviation .

Similarly, Type II and Type III imaginary standard transformations can be defined as follows:

( ( )) ( )
(4.13)
( ( )) ( ( ) ( ))
(4.14)

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 Probability Density Functions of Imaginary
and Complex Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

4.2. Standard Complex Random Variables

Following an analogous procedure, it is possible to obtain the following definitions for the
complex standard transformations for any complex random variable :

( ) ( ( ))
( )
√ ( ( ))
√ ( )
( ( )) ( ) [ ]
( ) ( ( )) ( )
[√ ( )]
√ ( ( ))
[ ]
(4.15)
and therefore:
( ) ( )
(4.16)
where

(4.17)
Furthermore,
( )
(4.18)
( )
(4.19)
Similarly, the other Types of standard transformations will be:

( ( )) ( )
(4.20)
( ( )) ( ( ) ( ))
(4.21)

5. Examples

5.1. Probability Density Function of Dependent Random Components

Let us consider the following complex random variable:

( ) ( )
(5.1)

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 Probability Density Functions of Imaginary
and Complex Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

where is any arbitrary real random variable with probability density function . Using Eq.
(3.4), the probability density function of will be:

( )
( ) ( ( ) ) {| |} ( ) {| |}

( )( )
(5.2)
Assuming to be the standard uniform random variable with:

( ) {
(5.3)
Then,

( ) ( ) ( ) ( )
{

(5.4)

The result is also a uniform probability density distribution, although complex.

5.2. Square Root of Zero-Mean Real Random Variables

One interesting random complex variable results when considering the square root of zero-
mean real random variables. Since a mean value of zero implies that some values will be
positive while other will be negative, the square root of such random variable will be complex,
taking either real or imaginary values.

Let us consider an arbitrary zero-mean real random variable , which can be expressed as
follows:

(5.5)

where is any arbitrary Type I standard real random variable with probability density function
( ).

Then, let us define the complex random variable:

√ √
(5.6)

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 Probability Density Functions of Imaginary
and Complex Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

In general, it can be said that:

( ) {√

(5.7)
( ) {
√
(5.8)
Thus, the corresponding expected values will be:

( ( )) √ ∫ √ ( )

(5.9)

( ( )) √ ∫ √ ( )

(5.10)

( ) √ (√ ) √ ∫ √ ( )

√ (∫ √ ( ) ∫ √ ( ) )

( ( )) ( ( ))
(5.11)
On the other hand,

(( ( )) ) ∫ ( )

(5.12)

(( ( )) ) ∫ ( )

(5.13)
and therefore:

( ( )) [∫ ( ) (∫ √ ( ) ) ]

(5.14)

( ( )) [∫ ( ) (∫ √ ( ) ) ]

(5.15)

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 Probability Density Functions of Imaginary
and Complex Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

√ ( √∫ ( ) (∫ √ ( ) )

√∫ ( ) (∫ √ ( ) ) )

(5.16)

( ) √ ( )∫ √ ( )

(5.17)
where for symmetric probability density functions:

( ( )) ( ( ))
(5.18)
( ( )) ( ( ))
(5.19)
For example, for a zero-mean normal distribution,

( )
( ( )) ( ( )) √ ∫ √ √ √
√
(5.20)
( ) √ ( )
(5.21)

( ( )) ( ( )) [∫ (∫ √ ) ]
√

( )
[ ( ) ]
√ √

(5.22)
and

( )
√ √ ( ) ( ) √ ( )
√ √

(5.23)
Finally,

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 Probability Density Functions of Imaginary
and Complex Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

√
(√ ( )) ( )
√
{
(5.24)
which is a standard complex random variable with probability density function:
( )
( )
( ) ( ) ( )
{
( ( ) )
( ( ) ) ( ) ( )
(5.25)

This probability density function is illustrated in Figure 1.

Figure 1. Probability density function of the standardized square root of a normal real random
variable. The upper plot (blue line) represents the probability density function obtained when
the square root is real. The lower plot (green line) represents the probability density function
when the square root is imaginary. In this case, the probability density is also imaginary (and
negative).

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 Probability Density Functions of Imaginary
and Complex Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

5.3. Standard Normal Imaginary and Complex Random Variables

Considering the standard normal real random variable with probability density function
given by:

( )
√
(5.26)
it is possible to define the standard normal imaginary random variable as follows:

(5.27)
Such that,
( ) ( )
(5.28)
( ) ( )
(5.29)

( ) √ ( )
(5.30)

The corresponding probability density function of the standard normal imaginary random
variable will be (from Eq. 3.4):

( ) ( ) {| |} {| |}
√ √
(5.31)

The probability density function of the standard normal imaginary random variable is presented
in Figure 2.

Similarly, it is possible to define the standard normal complex random variable as follows:

(5.32)
where and are independent standard normal real random variables.

In this case,
( ) ( ) ( )
(5.33)

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 Probability Density Functions of Imaginary
and Complex Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Figure 2. Imaginary probability density function of the standard normal imaginary random
variable.

The scalar variance of the standard normal complex random variable will be:

( ) ( ) ( ) ( )
(5.34)
and its vector variance:
( )
( ) [ ] [ ]
( )
(5.35)
Therefore, its standard deviation is:

√ ( )
( ) [ ]
√ ( )
[ ]
(5.36)

The probability density function of such standard normal complex random variable can be
expressed as (from Eq. 3.13):
( ) ( )

( )
(5.37)

and its probability density density function as:

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 Probability Density Functions of Imaginary
and Complex Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

( ) ( )

( )
(5.38)

A three-dimensional representation of the probability density density function of the standard

complex random variable (based on the complex or Argand plane) is presented in Figure 3.

0.08
Probability density density function

0.06

0.04

0.02

0
5
5
0
0

Im(z) -5 -5
Re(z)

Figure 3. Probability density density function of the standard normal complex random variable.
Colors are used for describing contours for probability density density values close to zero.

6. Conclusion

Imaginary and complex random variable may easily arise during the mathematical
transformation of real random variables. For example, the square root of any random variable
with zero mean and non-zero variance will result in a complex random variable, taking real
values when the random variable is positive and imaginary values when the random variable is
negative.

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 Probability Density Functions of Imaginary
and Complex Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

In this report, the behavior of complex random variables have been discussed and analyzed in
terms of the behavior of their real and imaginary random components. Since the real domain
can be considered as a subset of the complex domain, the properties of complex random
variables can be considered as a generalization of the real random behavior. One important
feature of random variables is their probability density function. For imaginary and complex
random variables, it is also possible to obtain mathematical descriptions of such probability
density functions in terms of the probability density function of real random variables.
Furthermore, whereas the probability density function of real random variables is always real
and positive, the probability density function of imaginary random variables is always imaginary
and negative. For complex random variables, a modified absolute value operator is proposed
such that the real part is always positive and the imaginary component is always negative. Such
modified absolute value operator can be used to describe an equivalent change of variable
theorem for complex random variables with dependent components. For independent
components, a probability density density function is defined, in order to obtain a mathematical
representation of the complex probability density of the random variable.

On the other hand, standard transformations of random variables are also possible for both
imaginary and complex random variables. In these cases, the definition of standard random
variables requires the use of element-wise Hadamard operators (product, division, power,
etc.). As expected, such definition is also valid for real random variables. Using the standard
transformation, it is possible to define particular standard random variables, such as the
standard normal imaginary random variable and the standard normal complex random
variable.

Acknowledgments

The author gratefully acknowledges Prof. Jaime Aguirre (Universidad Nacional de Colombia),
for helpful discussions and for proof-reading the manuscript.

This research did not receive any specific grant from funding agencies in the public,
commercial, or not-for-profit sectors.

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 Probability Density Functions of Imaginary
and Complex Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

References

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[2] Spiegel, M. R., Lipschutz, S., Schiller, J. J., & Spellman, D. (2015). Complex variables: With an
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[3] Humlíček, J. (1979). An efficient method for evaluation of the complex probability function:
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[4] Lang, R. (2010). A stochastic complex model with random imaginary noise. Nonlinear
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[5] Sathananthan, K., & Tellambura, C. (2001). Probability of error calculation of OFDM systems
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[7] Hernandez, H. (2017). Multivariate Probability Theory: Determination of Probability Density

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[8] Hernandez, H. (2019). Leibniz’s Rule and other Properties of Integrals of Randomistic
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[9] Hernandez, H. (2018). Multidimensional Randomness, Standard Random Variables and

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[10] Hernandez, H. (2019). Algebra of Random Arrays. ForsChem Research Reports 2019-06. doi:
10.13140/RG.2.2.28607.15520.

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