Generate random signal with specific mean, variance and auto correlation.
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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. ![](https://www.mathworks.com/matlabcentral/answers/uploaded_files/948184/image.png)
![](https://www.mathworks.com/matlabcentral/answers/uploaded_files/948184/image.png)
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Answers (1)
Brahmadev
on 21 Sep 2023
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.
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.
I hope this provides more clarity on your issue.
Best regards,
Brahmadev
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