colored_noise

colored_noise, a Fortran90 code which generates sequences that simulate 1/f^alpha power law noise. This includes white noise (alpha = 0), pink noise (alpha = 1) and brown noise or Brownian motion (alpha = 2), but also values of alpha between 0 and 2.

Licensing:

The information on this web page is distributed under the MIT license.

Languages:

colored_noise is available in a C version and a C++ version and a Fortran77 version and a Fortran90 version and a MATLAB version and an Octave version and a Python version.

Related Data and Programs:

colored_noise_test

correlation, a Fortran90 code which contains examples of statistical correlation functions.

normal, a Fortran90 code which computes elements of a sequence of pseudorandom normally distributed values.

pink_noise, a Fortran90 code which computes a pink noise signal obeying a 1/f power law.

sde, a Fortran90 code which illustrates the properties of stochastic differential equations, and common algorithms for their analysis, by Desmond Higham;

sftpack, a Fortran90 code which implements the slow Fourier transform, intended as a teaching tool and comparison with the fast Fourier transform.

stochastic_rk, a Fortran90 code which applies a Runge-Kutta scheme to a stochastic differential equation.

uniform, a Fortran90 code which computes elements of a uniform pseudorandom sequence.

Reference:

  1. Martin Gardner,
    White and brown music, fractal curves and one-over-f fluctuations,
    Scientific American,
    Volume 238, Number 4, April 1978, pages 16-32.
  2. 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.
  3. Edoardo Milotti,
    1/f noise: a pedagogical review,
    arXiv:physics/0204033.
  4. Sophocles Orfanidis,
    Introduction to Signal Processing,
    Prentice-Hall, 1995,
    ISBN: 0-13-209172-0,
    LC: TK5102.5.O246.
  5. William Press,
    Flicker Noises in Astronomy and Elsewhere,
    Comments on Astrophysics,
    Volume 7, Number 4, 1978, pages 103-119.
  6. 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:

Last revised on 10 June 2020.