generator_noise.m

来自「生成oil价格仿真数据」· M 代码 · 共 22 行

%%% generator noise random vector from variance matrix%%%
%%
%generator_noise%
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%% input: W square matrices and simetric matrices, 
%%It is assumed that W is a covariance   matriz...
%% can be improved ....
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

function wt=generator_noise(W,N)

%randn('state',1)
R = chol(W);
nw=size(W,2);
wt=[];
for i=1:N
    g=randn(nw,1);
    xt=R'*g;
    wt=[wt xt];
end

end