Generate random signal with specific mean, variance and auto correlation.

Hi everyone

I want to generate a random signal shown in red plot in figure below. This red signal is the filtered version of the blue signal over a hundered samples.

The simple way out will be to analyze the distribution of the blue signal, then use the distribution and pass it through a low pass filter. My question is that will it generate a red signal with the same properties of mean, standard deviation and correlation as shown in the figure ?

Regards

Mohsan.

Answer 1

[Brahmadev]

Hi mohsan,

I understand that you would like to generate the red signal using the blue signal. A low pass filter could generate a similar response based on it's frequency response. Refer to the following documentation for more information on low pass filters and how to customize them according to our reqirements.

https://www.mathworks.com/help/signal/ref/lowpass.html

Another method to achieve a similar result is using Moving Averages. MATLAB has an inbuilt function "movmean" for the same. Please refer to the following documentation for more information on the function.

https://in.mathworks.com/help/matlab/ref/movmean.html

I hope this provides more clarity on your issue.

Best regards,

Brahmadev