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Generation Of Colored Noise

Author

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  • LORENZ BARTOSCH

    (Institut für Theoretische Physik, Johann Wolfgang Goethe-Universität Frankfurt, Robert-Mayer-Str. 8-10, D-60054 Frankfurt am Main, Germany)

Abstract

In this work, we describe a simple Markovian algorithm to generate a typical sample path of colored noise described by an Ornstein–Uhlenbeck process. The algorithm works equally well to simulate a real or complex disorder potential with exponentially decaying covariance and higher correlation functions given by Wick's theorem. As an input, we only need independent Gaussian random numbers which can easily be generated by the well-known Box–Muller algorithm. Finally, we discuss an alternative method which can also be used to generate non-Gaussian colored noise.

Suggested Citation

  • Lorenz Bartosch, 2001. "Generation Of Colored Noise," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 12(06), pages 851-855.
    • Handle: RePEc:wsi:ijmpcx:v:12:y:2001:i:06:n:s0129183101002012
    DOI: 10.1142/S0129183101002012
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    Cited by:

    1. Michalowicz, J.V. & Nichols, J.M. & Bucholtz, F. & Olson, C.C., 2011. "A general Isserlis theorem for mixed-Gaussian random variables," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 1233-1240, August.

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