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On the generation of high‐quality white noise series

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  • J. Figwer
  • A. Niederlinski

Abstract

A new approach to the simulation of white‐noise time‐series is presented. The approach is based on the frequency‐domain property of white‐noise as having a flat power spectrum density (PSD). From such a PSD, a linear complex spectrum of random‐phase multisinusoidal series (MS) may be generated. Next, the fast Fourier transform is applied to this linear spectrum to generate a random‐phase multisinusoidal N‐sample series, simulating the white‐noise series. The properties of some MS series are discussed including a gaussian white noise multisinusoidal series. The idea is illustrated by a number of examples. They demonstrate that the spectral and correlation properties of such series are enhanced in comparison to the properties of the random phases used to generate them. They also demonstrate that the spectral and correlation properties of such series are better, especially for short series, in comparison with standard white noise generators.

Suggested Citation

  • J. Figwer & A. Niederlinski, 1992. "On the generation of high‐quality white noise series," Applied Stochastic Models and Data Analysis, John Wiley & Sons, vol. 8(4), pages 311-326, December.
    • Handle: RePEc:wly:apsmda:v:8:y:1992:i:4:p:311-326
    DOI: 10.1002/asm.3150080406
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