I have read in that lecture, page 2, here that, the symbols are independent, and normalized to have power 1, which means $E(x x^H) = I$ .. what does that mean? could you please explain that for me?
In mundane words: the concept is very close to that of orthogonality. For two components of $x$, say $x_i$ and $x_j$, if they are different ($i \neq j)$, the average outcome of their product is zero (or $E(x_i x_j^H) =0$). If $i = j$, one assumes that the energy is normalized to one (or $E(x_i x_i^H) =1$).
Resultingly, the product matrix is a unit matrix: one for the diagonal ($i = j$), and zero outside.