MATLAB: Generate Gassian Colored Noise

coloredgaussian noise

Hello all,

Is there any built-in function in MATLAB to generate a Gaussian noise with a specific covariance matrix R (colored noise), not necessarily the identity matrix (white noise)?

Thanks

Best Answer

There's MVRND, if you have the Stats Toolbox.

Otherwise, you can just do

sqrtm(R)*randn(size(R,2),1);

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MATLAB: Incosistent matrix multiplication and probelm with covarince matrix

The really best solution would be to get rid of redundant rows of J (because why would you want the covariance of redundant variables?), so that S will be strictly positive definite. Using the attached file,

Jr=licols(J')';
S=Jr*C*Jr';
S=(S+S')/2;

Now, even small floating point errors shouldn't produce negative eigenvalues since they are strictly bounded away from zero.

MATLAB: Eigenvalues and orthonormal eigenvectors

Yes there is. Look at the eig function.

Best Answer

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MATLAB: Incosistent matrix multiplication and probelm with covarince matrix

MATLAB: Eigenvalues and orthonormal eigenvectors

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