gen_wn: Generate a Gaussian White Noise Process (WN(sigma^2))
In SMAC-Group/gmwm: Generalized Method of Wavelet Moments

Description Usage Arguments Value Process Definition Generation Algorithm Examples

Simulates a Gaussian White Noise Process with variance parameter sigma^2.

1	gen_wn(N, sigma2 = 1)

`N`	An `integer` for signal length.
`sigma2`	A `double` that contains process variance.

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.