correlated Gaussian noise
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Updated 21 Aug 2008
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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 .
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