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Suppose I have a function that is not square integrable such as the zeroth Bessel function of the first kind. How do I generate a random sequence, with mean zero of course, such that its autocorrelation satisfies this function?

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If $r_{xx}(t)$ is the autocorrelation of $x(t)$ it's Fourier Transforms (FT) are given by

$$R_{xx}(\omega) = |X(\omega)|^2$$

That creates a handy way to create a random signal from a given autocorrelation

  1. Calculate the FT of the autocorrelation (which is real)
  2. Take the square root
  3. Apply a random phase (uniformly distributed on $[-\pi,\pi]$) maintaining Hermitian symmetry, i.e. $\varphi(-\omega) = -\varphi(\omega)$
  4. Take the inverse FT
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  • $\begingroup$ This method doesn't work because the Fourier transform of the $r_{xx}(t)$ is not always positive if $r_{xx}(t)$ is the zero-th order Bessel function. You will get negative, even complex, components when the ACF is Fourier-transformed. $\endgroup$
    – Julian Ong
    Feb 6, 2023 at 2:03
  • $\begingroup$ @JulianOng : Nope. The FT of the autocorrelation is the power spectral density. It's always positive. (and it's real if $x(t)$ is real as well). $\endgroup$
    – Hilmar
    Feb 6, 2023 at 12:46
  • $\begingroup$ The problem is, what if the FT of some given and hypothetical autocorrelation (which is real and an even function) is not always non-negative? $\endgroup$ Nov 2, 2023 at 16:13

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