How do I know the covariance matrix of colored noise?
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I am currently working on simulation of color noise using MATLAB. I understand that the covariance matrix of colored noise will be non-diagonal.
I also studied that passing a white-noise vector from a low pass filter will generate colored noise since individual elements become correlated.
My question is :
1) How do I generate a random color noise with a given covariance matrix (I know mvrnd method) for a 512 X 512 image? Problem is covariance matrix becomes of the size (512^4) for such an image and it's impossible to store it and generate from a mv distribution.
2) If I instead use the filter based method. How do I estimate the entry Sigma_k_l of the covariance matrix ??
The main goal is to have both colored noise and full covariance matrix of the vector.
Thanks in advance.
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