Generate Gassian Colored Noise
6 Ansichten (letzte 30 Tage)
Ältere Kommentare anzeigen
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
0 Kommentare
Akzeptierte Antwort
Matt J
am 23 Mai 2014
Bearbeitet: Matt J
am 23 Mai 2014
5 Kommentare
Matt J
am 24 Mai 2014
Bearbeitet: Matt J
am 24 Mai 2014
If R is close to singular, it can be mis-perceived as having some negative eigenvalues (and hence as not being psd) due to numerical imprecision.
However, if your R is close to singular, it really means you're taking the covariance of have some redundant variables - some of them are approximately linear combinations of the others - and should get rid of them.
Weitere Antworten (0)
Siehe auch
Kategorien
Mehr zu Linear Algebra finden Sie in Help Center und File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!