crandn (Scripts) Publisher's description
from Stephen Bocquet
Generate correlated Gaussian sequences by Fourier synthesis
[cg, psg] = crandn(rgau,m)
Generate correlated Gaussian sequences by Fourier synthesis.
rgau = correlation function - length n/2
m = number of realisations
cg = m x n matrix containing m sequences of n correlated variates from
a zero mean, unit variance normal distribution
psg = input power spectrum (Fourier transform of correlation function)
Note: Since this uses the fast Fourier transform, it will be fastest if n is a power of 2.
crandndemo.m is a demonstration. Note that one plot requires the function plotcdfkuiper (File Exchange ID #21280)
System Requirements:MATLAB 7.6 (R2008a)
Program Release Status: New Release
Program Install Support: Install and Uninstall