Generate a Gaussian White Noise Process (WN(sigma^2))
Simulates a Gaussian White Noise Process with variance parameter sigma^2.
gen_wn(N, sigma2 = 1)
N |
An |
sigma2 |
A |
wn A vec containing the white noise.
Gaussian White Noise (WN) with parameter sigma^2 in R^{+}. This process is defined as X[t] ~ N(0,sigma^2) and is sometimes referred to as Angle (Velocity) Random Walk.
To generate the Gaussian White Noise (WN) process, we first obtain the standard deviation from the variance by taking a square root. Then, we sample N times from a N(0,sigma^2) distribution.
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