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correlated Gaussian noise

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


Updated 21 Aug 2008

translation missing:

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);

Cite As

michaelB brost (2022). correlated Gaussian noise (, MATLAB Central File Exchange. Retrieved .

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

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