White Noises Generation in Matlab

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Lapo
Lapo 2013-1-18
Hi, I'm writing a function for the simulation of a multi-correlated random process with autoregressive filters' method. So I need to generate M white noises, being M the process dimension. I've tried using both "randn" and "mvnrnd", but the white noises seems to be not perfectly unrelated. In fact both the coherence functions and the cross-spectrums are not zero. This affects the simulated process' quality, which is more correlated than I expect. So, is there a better way to generate an M dimensional process of unrelated white noises?

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Daniel Shub
Daniel Shub 2013-1-18
This isn't really a MATLAB question, I think your understanding of random processes is a little off. If you generate finite length random samples from two uncorrelated random processes you will find that the correlation is not exactly zero. As the length of the sample increases the correlation will decrease.
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Daniel Shub
Daniel Shub 2013-1-18
Is your problem essentially that corrcoef(randn(1e3, 1), randn(1e3, 1)) doesn't return an identity matrix?
Lapo
Lapo 2013-1-18
The corrcoef matrix is near enought to the identity matrix. My problem is in
>>u=randn(Ns,2)
>>mscohere(u(:,1),u(:,2),[],[],Ns,'sample frequency')
I expect mscohere to be zero, but it always show a mean value 0.3. This affect the quality of the signal simulated by AR method. The same thing happen obviously with the cross-spectrum

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