An EMD based simulation of fractional Gaussian noise

Authors:
Peiwei Shan;Ming Li
Affiliations:
School of Information Science & Technology, East China Normal University, Shanghai, P.R. China;School of Information Science & Technology, East China Normal University, Shanghai, P.R. China
Venue:
IMACS'08 Proceedings of the 7th WSEAS International Conference on Instrumentation, Measurement, Circuits and Systems
Year:
2008

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Abstract

This paper introduces a system for synthesizing fractional Gaussian noise (FGN) based on two approaches in the platform of MATLAB. One is empirical mode decomposition (EMD) and the other correlation method. The system can be used to simulate FGN and fractional Brownian motion (fBm), respectively. A comparison of theoretical and real autocorrelation of a synthesized realizations of FGN is illustrated between EMD-based simulation and correlation-based one.