White Noises Generation in Matlab
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Hi, I'm writing a function for the simulation of a multi-correlated random process with autoregressive filters' method. So I need to generate M white noises, being M the process dimension. I've tried using both "randn" and "mvnrnd", but the white noises seems to be not perfectly unrelated. In fact both the coherence functions and the cross-spectrums are not zero. This affects the simulated process' quality, which is more correlated than I expect. So, is there a better way to generate an M dimensional process of unrelated white noises?
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Daniel Shub
2013 年 1 月 18 日
This isn't really a MATLAB question, I think your understanding of random processes is a little off. If you generate finite length random samples from two uncorrelated random processes you will find that the correlation is not exactly zero. As the length of the sample increases the correlation will decrease.
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Daniel Shub
2013 年 1 月 18 日
Is your problem essentially that corrcoef(randn(1e3, 1), randn(1e3, 1)) doesn't return an identity matrix?
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