Generate Gassian Colored Noise
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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
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Accepted Answer
Matt J
on 23 May 2014
Edited: Matt J
on 23 May 2014
5 Comments
Matt J
on 24 May 2014
Edited: Matt J
on 24 May 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.
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