PINK_NOISE\
Samples of a Pink Noise Signal {#pink_noise-samples-of-a-pink-noise-signal align=”center”}
==============================
PINK_NOISE is a C++ library which can generate random values taken
from an approximate pink noise signal obeying a 1/f power law.
Licensing: {#licensing align=”center”}
The computer code and data files described and made available on this
web page are distributed under the GNU LGPL
license.
Languages: {#languages align=”center”}
PINK_NOISE is available in a C
version and a C++
version and a FORTRAN77
version and a FORTRAN90
version and a MATLAB
version.
BLACK_SCHOLES, a C++
library which implements some simple approaches to the Black-Scholes
option valuation theory, by Desmond Higham.
COLORED_NOISE, a C++
library which generates samples of noise obeying a 1/f\^alpha power law.
CORRELATION, a C++ library
which contains examples of statistical correlation functions.
ORNSTEIN_UHLENBECK,
a C++ library which approximates solutions of the Ornstein-Uhlenbeck
stochastic differential equation (SDE) using the Euler method and the
Euler-Maruyama method.
SDE, a C++ library which illustrates the
properties of stochastic differential equations (SDE’s), and common
algorithms for their analysis, by Desmond Higham;
STOCHASTIC_RK, a C++
library which applies a Runge-Kutta scheme to a stochastic differential
equation.
Reference: {#reference align=”center”}
- Martin Gardner,\
White and brown music, fractal curves and one-over-f fluctuations,\
Scientific American,\
Volume 238, Number 4, April 1978, pages 16-32.
- Jeremy Kasdin,\
Discrete Simulation of Colored Noise and Stochastic Processes and
1/f\^a Power Law Noise Generation,\
Proceedings of the IEEE,\
Volume 83, Number 5, 1995, pages 802-827.
- Edoardo Milotti,\
1/f noise: a pedagogical review,\
arXiv:physics/0204033.
- Sophocles Orfanidis,\
Introduction to Signal Processing,\
Prentice-Hall, 1995,\
ISBN: 0-13-209172-0,\
LC: TK5102.5.O246.
- William Press,\
Flicker Noises in Astronomy and Elsewhere,\
Comments on Astrophysics,\
Volume 7, Number 4, 1978, pages 103-119.
- Miroslav Stoyanov, Max Gunzburger, John Burkardt,\
Pink Noise, 1/f\^alpha Noise, and Their Effect on Solutions of
Differential Equations,\
International Journal for Uncertainty Quantification,\
Volume 1, Number 3, pages 257-278, 2011.
Source Code: {#source-code align=”center”}
Examples and Tests: {#examples-and-tests align=”center”}
List of Routines: {#list-of-routines align=”center”}
- CDELAY2 is a circular buffer implementation of M-fold delay.
- CORR computes the sample correlation of a signal sample.
- CROSS_CORR computes the sample cross correlation between two
signal samples.
- RAN1F is a 1/F random number generator.
- RANH is a hold random number generator of period D.
- TIMESTAMP prints the current YMDHMS date as a time stamp.
- WRAP2 is a circular wrap of the pointer offset Q.
You can go up one level to the C++ source codes.
Last revised on 20 June 2010.