Path: Math/Probability
% Generate random output from a Gauss-Markov process. The autocorrelation function for a Gauss-Markov process is sigma^2*exp(-abs(tau)/tCorr) -------------------------------------------------------------------------- Form: [x, tau] = Markov( sigma, tCorr, n, tSamp ) -------------------------------------------------------------------------- ------ Inputs ------ sigma (:) Square root of mean squared value tCorr (:) Correlation time constant n (1,1) Number of samples tSamp (1,1) Sampling period ------- Outputs ------- x (:,n) Output tau (n) Time shifts -------------------------------------------------------------------------- Reference: Brown R.G. and P.Y.C. Hwang (1992). Introduction to Random Signals and Applied Kalman Filtering. John Wiley & Sons, New York. 134. --------------------------------------------------------------------------
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