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<math>\operatorname{R}_{\mathbf{X}\mathbf{Y}}</math> is a <math>3 \times 2</math> matrix whose <math>(i,j)</math>-th entry is <math>\operatorname{E}[X_i Y_j]</math>.
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If <math>\mathbf{Z} = (Z_1,\ldots,Z_m)^{\rm T}</math> and <math>\mathbf{W} = (W_1,\ldots,W_n)^{\rm T}</math> are [[complex random vector]]s, each containing random variables whose expected value and variance exist, the cross-correlation matrix of <math>\mathbf{Z}</math> and <math>\mathbf{W}</math> is defined by
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