Complex Number Covariance Matrix

daviddoria

I would like to find the sample covariance

(1/N) * SUM( (x_i-ux)*(y_i-uy) )

of x and y where ux=mean(x) and uy=mean(y) where x and y are complex vectors (a vector where each entry is (a+bi) ).

Is there a way to do this that makes sense?

Thanks,

David