Generating Partially Correlated Random Variables
Designing signals to match a target covariance is simpler than it sounds. This post shows how to build partially correlated complex signals by hand for the two-signal case, then generalizes to N signals using the Cholesky decomposition. Short MATLAB examples demonstrate the two-line implementation and the article highlights numerical caveats when a covariance is only positive semidefinite.
Generating Partially Correlated Random Variables
Designing signals to match a target covariance is simpler than it sounds. This post shows how to build partially correlated complex signals by hand for the two-signal case, then generalizes to N signals using the Cholesky decomposition. Short MATLAB examples demonstrate the two-line implementation and the article highlights numerical caveats when a covariance is only positive semidefinite.
Generating Partially Correlated Random Variables
Designing signals to match a target covariance is simpler than it sounds. This post shows how to build partially correlated complex signals by hand for the two-signal case, then generalizes to N signals using the Cholesky decomposition. Short MATLAB examples demonstrate the two-line implementation and the article highlights numerical caveats when a covariance is only positive semidefinite.
