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Need urgent Help: correlated sequence

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amir_rastegar2003

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hi

I want to have two correlated sequence with desired correlation coefficient. how can i do this by MATLAB??

thanks.
 

m_llaa

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Hi
Use these relation between correlation function in time domain or frequency domain.
Rxy(t) = Rxx(t) * h*(-t) (in time domain) or
Sxy(w) = Sxx(w) . H*(w)
 

spweda

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Assum that Rxy is the desired correlation matrix, make the eigen-decomposition Rxy = U^(H)VU. Define a transform matrix B=U^(H)V(1/2), and let M=[x y]^(T) is two indepdent Gaussian vectors, N=BM will have the desired correlation matrix.
 
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