image thumbnail

correlated Gaussian noise

version 1.0.0.0 (975 Bytes) by michaelB brost
independent samples of correlated Gaussian vector process

3.8K Downloads

Updated 21 Aug 2008

translation missing: en-US.gallery.no_license

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)

Cite As

michaelB brost (2022). correlated Gaussian noise (https://www.mathworks.com/matlabcentral/fileexchange/21156-correlated-gaussian-noise), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2007b
Compatible with any release
Platform Compatibility
Windows macOS Linux

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!