noise

Draw a correlated noise process on a lag grid.

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Declaration

 y = noise(self,t)

Parameters

• t lag grid used to evaluate the autocorrelation model

Returns

• y random process samples with the same shape as t

Discussion

When rho is empty, noise returns independent samples with the same shape as t. When rho is defined, it evaluates \(\rho(t)\), forms the corresponding Toeplitz correlation model, and applies its Cholesky factor to the independent draws.