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How to gaussian white noise with mean, variance and autocorrelation function?

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Musanna Galib
Musanna Galib 2020 年 10 月 20 日
コメント済み: Musanna Galib 2020 年 10 月 23 日
I want to input a white gaussian noise (ζ_z )in my system with mean = 0, variance, σ= 3,6 and 12*10^-4 and exponential autocorrelation function with correlation time 𝜏 =0.1. Can anyone help me with this?
The equations are given as-

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Chaitanya Mallela
Chaitanya Mallela 2020 年 10 月 23 日
編集済み: Chaitanya Mallela 2020 年 10 月 23 日
The White Gaussian Noise should contain a multivariate random numbers with three different realizations, each realization with mean 0 and variance 3,6,0.0012 respectively.
N=1000; % Input sample length
M = [0 0 0]; % Mean vector
var = [3 6 12*10^-4]; % Variance vector
Cov = var.*eye(3,3); % Covariance matrix
x = mvnrnd(M,Cov,N); % MultiVariate random vector added to the input
x1 = autocorr(x(:,1)); % Space Correlation of three realizations
x2 = autocorr(x(:,2));
x3 = autocorr(x(:,3));
Since time is a separate dimension, we get the Gaussian Random Variables by fixing a particular time instant(say t) in the Gaussian Random Process to obtain the above three realizations. So, we consider the time instants in such a way it satisfies the time step auto correlation function of the Gaussian Random Process.

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Musanna Galib
Musanna Galib 2020 年 10 月 23 日
Thank you very much for the reply. I am not expert in this field. I didn't understand the explanation related to implement auto-correlation time. Can you kindly elaborate how to implement the autocorrelation time. I am actually trying to reproduce some result. They used these parameters mentioned in the question.
This noise will be used to give a force. I am quoting the line - "The stochastic force is an exponentially correlated noise with fixed standard deviation and correlation time 0.1 s with exponential autocorrelation function."

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