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crandn

version 1.0.0.0 (2.48 KB) by Stephen Bocquet
Generate m sequences of n Gaussian random numbers with a specified autocorrelation function

1.1K Downloads

Updated 04 Sep 2008

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[cg, psg] = crandn(rgau,m)
Generate correlated Gaussian sequences by Fourier synthesis.

Input parameters:
rgau = correlation function - length n/2
m = number of realisations

Output:
cg = m x n matrix containing m sequences of n correlated variates from
a zero mean, unit variance normal distribution
psg = input power spectrum (Fourier transform of correlation function)

Note: Since this uses the fast Fourier transform, it will be fastest if n is a power of 2.

crandndemo.m is a demonstration. Note that one plot requires the function plotcdfkuiper (File Exchange ID #21280)

Cite As

Stephen Bocquet (2021). crandn (https://www.mathworks.com/matlabcentral/fileexchange/21325-crandn), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2008a
Compatible with any release
Platform Compatibility
Windows macOS Linux

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