Thanks for the reply, in that post it states that the matrix is positive semi-definite. And the reference I found somewhere else said that the covariance matrix is always positive-definite. Thanks a lot for your reply!
I've been reading everywhere, including wikipedia, and I can't seem to find a prove to the fact that the covariance matrix of a complex random vector is Hermitian positive definitive. Why is it definitive and not just simple semi-definitive like any other covariance matrix?
Wikipedia just...