Orthogonal Random Variables and Orthogonal Random Vectors

           Two vectorsand are called orthogonal if .
           Two random variables are called orthogonal if EXY = 0.

           Similarly two n-dimensional random vectors are called orthogonal if

           Just like the independent random variables and the uncorrelated random variables, the orthogonal random variables form an important class of random variables.

           Remark

           If are uncorrelated, then