Generate multiple sequences of correlated random variables

In the previous post, a method for generating two sequences of correlated random variables was discussed. Generation of multiple sequences of correlated random variables, given a correlation matrix is discussed here. Correlation Matrix Correlation matrix defines correlation among N variables. It is a symmetric matrix with the element equal to the correlation coefficient between the … Read more

Methods to compute linear convolution

Mathematical details of convolution, its relationship to polynomial multiplication and the application of Toeplitz matrices in computing linear convolution are discussed in the previous article. A short survey of different techniques to compute discrete linear convolution (with Matlab code) is given here. Definition Given an LTI (Linear Time Invariant) system with impulse response \(h[n]\) and … Read more

Convolution: understand the mathematics

Convolution operation is ubiquitous in signal processing applications. The mathematics of convolution is strongly rooted in operation on polynomials. The intent of this text is to enhance the understanding on mathematical details of convolution. Polynomial functions: Polynomial functions are expressions consisting of sum of terms, where each term includes one or more variables raised to … Read more