0
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1answer
153 views

special matrix in terms of its covariance matrix

How can we find a matrix $S\in \mathcal{M}_{n,n}$ and $Z\in \mathcal{M}_{n,m}$ whose $n$ entries of the $i^{th}$ column $Z_i$ are correlated $Z_i \sim \mathcal{N}(0,S)$ where $S \in \mathcal{M}_{n,n}$ ...
0
votes
1answer
99 views

what is the covariance matrix for deterministic signal+normal noise

Say that we have a signal that is written as follow $y=y_0+r$ where $y$ and $y_0$ are n-dimensional vectors and $r$ is n-dimensional noise vector. I would like to have $r\sim \mathcal{N}(0,\Sigma)$ ...
0
votes
1answer
82 views

Filtering out noise from an approximate normal distribution

I'm dealing with sets of data that have distributions somewhat like this: ...
2
votes
1answer
645 views

Problem with combination of discrete and continuous random variables

I'm pretty new to probability and a question is giving me some troubles. A binary information source produces $0$ and $1$ with equal probability. The output of the source, denoted as $X$, is ...
1
vote
1answer
689 views

How to generate noise signal?

What is the simplest formula of some noise signal? $A(t)=...$ where t is time. What is the name of a noise, which power spectral density is gaussian? EDIT 1 Actually I need a function which can ...