[Numpy-discussion] Noise Simulation

[peter.chang at nottingham.ac.uk]

On Tue, 14 May 2002, Johan Fredrik Øhman wrote:

> Sure,
> Kasdin, N.J. and Walter, T. (1992), Discrete Simulation of Power Law Noise,
> 1992, IEEE Frequency Control Symposium, p. 274-283.
> 
> This C program shown there, and thus my python program returns an finite
> vector of noise.   Now, let's assume that I want more noise, how can I
> concatenate another vector ?   In the case of PWH (Phase white noise) this
> is quite simple, but the other cases are more obscure.  Anybody knows what
> is a valid procedure to create "more noise"...

Look in "Fast Algorithms for DSP" by Richard E Blahut, p284
(Addison-Wesley, Mass. 1985) ISBN 0-201-10155-6 or "Numerical Recipes in
C", p543 (CUP, 2nd Ed, 1992). 

What you're doing is convolving a random stream with a FIR filter via 
FFTs. To apply to a larger stream, you need to convolve by sections using 
either the overlap-save or the overlap-add method.

Regards,
 Peter