correlated Gaussian noise

independent samples of correlated Gaussian vector process

Description

vector generalization of matlab standard function randn() with correlations.

inputs: Rpp - pXp correlation matrix
        nSamp - number of samples

outputs: data matrix of size
            [p rows X nSamp cols]
         sample correlation matrix
 
example generate a vector of 1000 pairs which are correlated as
[1 -0.3]
[-0.3 1]

R=[1 -0.3; -0.3, 1];
n = 1000;
[x, sampR]=correlatedGaussianNoise(R,n);
disp(sampR)

• MATLAB release: MATLAB 7.5 (R2007b)
• Other requirements: tested on R2007b