Pre-envelope covariance differential equations for white and nonwhite input processes

The pre-envelope process is a complex process whose statistics are strictly related to the statistics of the envelope of a given process. The paper deals with the evaluation of the covariances of the pre-envelope output process of classically and nonclassically damped linear systems subjected to stationary and nonstationary white and nonwhite pre-envelope input process. More precisely, the pre-envelope covariances for nonwhite complex input processes are evaluated as solution of a set of first order differential equations. Furthermore, in the paper the pre-envelope of the white input process is defined, and for such input the pre-envelope covariance differential equations are determined by means of an extension to the complex field of the stochastic differential calculus.