Complex normal distribution

In probability theory, the family of complex normal distributions, denoted C N {\displaystyle {\mathcal {CN}}} or N C {\displaystyle {\mathcal {N}}_{\mathcal {C}}} , characterizes complex random variables whose real and imaginary parts are jointly normal. The complex normal family has three parameters: location parameter μ, covariance matrix Γ {\displaystyle \Gamma } , and the relation matrix C {\displaystyle C} .

Source: Wikipedia — Complex normal distribution (CC BY-SA 4.0)