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Exact numerical simulation of power-law noises

Edoardo Milotti*

  • Dipartimento di Fisica, Università di Udine and INFN Sezione di Trieste, Via delle Scienze, 208, I-33100 Udine, Italy

  • *Electronic address: milotti@ts.infn.it
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Phys. Rev. E 72, 056701 – Published 1 November, 2005

DOI: https://doi.org/10.1103/PhysRevE.72.056701

Abstract

Many simulations of stochastic processes require colored noises: I describe here an exact numerical method to simulate power-law noises: the method can be extended to more general colored noises, and is exact for all time steps, even when they are unevenly spaced [as may often happen for astronomical data; see, e.g., N. R. Lomb, Astrophys. Space Sci. 39, 447 (1976)]. The algorithm has a well-behaved computational complexity, it produces a nearly perfect Gaussian noise, and its computational efficiency depends on the required degree of noise Gaussianity.

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Phys. Rev. E 72, 056701– Published 1 November, 2005
  • Received 31 May 2005

© 2005 American Physical Society

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