2007/03/15 by Alejandro Rodriguez, Steven G. Johnson, Rodriguez, Alejandro +1
Physics and Astronomy · #Computational Physics (physics.comp-ph) #Data Analysis #FOS: Physical sciences #Statistics and Probability (physics.data-an) #physics.comp-ph #physics.data-an
paper · pdf · doi:10.48550/arxiv.physics/0703152
4 page, 4 figures
arxiv created 2007/04/14 · arxiv updated 2009/12/01
We compare several methods for the efficient generation of correlated random sequences (colored noise) by filtering white noise to achieve a desired correlation spectrum. We argue that a class of IIR filter-design techniques developed in the 1970s, which obtain the global Chebyshev-optimum minimum-phase filter with a desired magnitude and arbitrary phase, are uniquely suited for this problem but have seldom been used. The short filters that result from such techniques are crucial for applications of colored noise in physical simulations involving random processes, for which many long random sequences must be generated and computational time and memory are at a premium.