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For standard gaussian white noise, the covariance matrix is a identity matrix. What about other coloured noises (generated from standard gaussian): Brown(red), Pink, Blue, Violet?

Additional details / thoughts: Preferably looking for a python code, since I don't have domain knowledge to understand the "process". Maybe generating 2D noise and then finding the covariance (numpy.cov) would work? I found https://stackoverflow.com/questions/67085963/generate-colors-of-noise-in-python to generate 1D noise, but I am not sure how to extend it to 2D.

Update for clarity: https://en.wikipedia.org/wiki/White_noise#White_noise_vector

the covariance matrix R of the components of a white noise vector w with n elements must be an n by n diagonal matrix, where each diagonal element Rii is the variance of component wi; and the correlation matrix must be the n by n identity matrix.

I want to find covariance matrix R of the components of coloured noise vector w with n elements.

Will generating enough noise vectors, stacking them as columns and finding covariance of the matrix gives the expected covariance matrix? This matches with what I expect from the covariance matrix: https://en.wikipedia.org/wiki/Estimation_of_covariance_matrices#Estimation_in_a_general_context

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    $\begingroup$ So I'm a bit confused by conflicting statements. 1. are you trying to generate noise, or to find the covariance matrix of noise that you already have? 2. Are we talking about covariance, a property that links two separate random variables, as indicated by your 2D considerations and the word "covariance matrix" or are we talking about autocovariance, property of a single time-dependent random variable, as indicated by "colored noise"? $\endgroup$ Jan 26 at 10:27
  • $\begingroup$ @ConstantineA.B. I am now a bit confused about the wording too :) . Maybe autocovariance matrix is what I am looking for. To be more clear let me quote wikipedia: "The covariance matrix R of the components of a white noise vector w with n elements must be an n by n diagonal matrix, where each diagonal element Rii is the variance of component wi; and the correlation matrix must be the n by n identity matrix." I want to find the covariance matrix for coloured noises (brown, pink, blue, violet). $\endgroup$
    – sdnemina
    Jan 26 at 17:00
  • $\begingroup$ but "colored noise" is 1-Dimensional, but changing over time not an an N>1 dimensional vector. You can of course have an N-dimensional vector of noise processes, but then each entry in that vector isn't just a random number, but a random function of time. $\endgroup$ Jan 26 at 19:12
  • $\begingroup$ and whether or not these elements of the vector are related/correlated is not subject of the color of the noise at all. You can have two perfectly correlated white noise sources (e.g. X, Y=-X), or two perfectly independent white noise sources; and the same is true for every color of noise. Color tells you something about how a random variable with a time dependence relates with itself of the past, and a covariance matrix tells you something about how different random variables relate. $\endgroup$ Jan 26 at 19:26
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    $\begingroup$ you can put that in a Matrix, but it's going to be very "repeatingly", content-wise: The information you're looking for is the autocorrelation function, i.e., just a 1D construct, not a 2D construct like a matrix, because there's only one parameter to vary: the delay of the noise to itself for which you say how correlated they are. The good news is that for weak-sense stationary signals (and all "colored" noises you meet are usually modelled as such), the autocorrelation function is linked to the power spectral density (the "power" plots) by the Fourier transform. For example: Pink noise has $\endgroup$ Jan 27 at 11:23

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You can at least approximate colored noise by altering the spectrum of white noise. The following are some definitions of colored noise

\begin{equation} S_{pink}(f) = \frac{S_{0}}{f^{\alpha}} \end{equation}

where $\alpha$ is close to 1,

\begin{equation} S_{brown}(f) = \frac{S_{0}}{f^{2}}\end{equation}

\begin{equation} S_{blue}(f) = S_{0}f\end{equation}

You can see more here. I'm not a python person, so I'm not going to write python, but the basic procedure is something like: generate white noise $\rightarrow$ N-D FFT $\rightarrow$ N-D filter (e.g. for pink noise dot multiply the white noise spectrum by $\frac{1}{f}$) $\rightarrow$ N-D IFFT. This will give you an approximation of your desired colored noise.

For generating a covariance (correlation) matrix, the function you are likely looking for is spectrum's corrmtx, which is equivalent to Matlab's corrmtx. This will give you a correlation matrix estimate for 1-D data via time-averaging. However, you seemed confused on what the correlation matrix is and how to find it. For a data vector

\begin{equation}\underline{x}=\begin{bmatrix}x(0) & x(1) & \cdots & x(N-1)\end{bmatrix}^{T}\end{equation}

The correlation matrix is defined as

\begin{equation} R_{xx} = E\{\underline{x}\,\underline{x}^{H}\}\end{equation}

This means that the correlation matrix is the ensemble averaged outer product, and thus represents the complete set of statistical second moments of a data vector $\underline{x}$. Theoretically, for a vector of length $N$, the correlation matrix is an $N$-by-$N$ matrix. Estimating via time-averaging will typically decrease the size of the estimated correlation matrix.

Estimating the correlation matrix for 2-D data, for example, will result in a block diagonal matrix. Estimating correlation matrices of 2-D or higher dimensional data is pretty conceptually challenging, so I would start with 1-D and make sure you understand that.

EDIT 1: Question about Covariance Matrix vs. Correlation Matrix

Wikipedia's explanation doesn't seem right. The covariance matrix is defined as

\begin{equation}K_{xx} = E\{(\underline{x}-\mu_{x})(\underline{x}-\mu_{x})^{H}\}\end{equation}

where $\mu_{x}$ is assumed constant for a Wide-Sense Stationary random process. For noise to be white, it must be zero-mean. There are several stack exchange posts on this, I'll link this one. This means, for white noise,

\begin{equation} R_{xx} = K_{xx} = \sigma_{0}^{2}I\end{equation}

where $I$ is the identity matrix.

Practically speaking, any property that applies to the correlation matrix also applies to the covariance matrix, although the converse is not true. I find estimating covariance matrix to be more tedious and doesn't always provide a huge benefit, especially when dealing with higher dimensional data, but there very well could be practical use for it that I'm unaware of. To estimate it, you have to subtract off the mean.

Responding to your updated question, that is not how you would calculate the covariance matrix. You would still use the corrmtx function, but your data input would be the data with the mean subtracted off. If you wanted to mimic ensemble averaging, you could form an $N$-by-$M$ matrix that contains $M$ draws of an $N$ length random vector, where $M \gg N$. You would then take the outer product of each row and then average the $M$ outer products.

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  • $\begingroup$ Bit uneasy about not using the word "autocovariance matrix" when we're really talking about one and the same and not two variables. $\endgroup$ Jan 26 at 10:28
  • $\begingroup$ @Baddioes Thanks for explaining a good bit of background about this! To be more specific, I am looking for an NxN covariance for an arbitrary coloured noise data vector, so maybe the right term is expected covariance matrix? (see the update in the question). $\endgroup$
    – sdnemina
    Jan 26 at 17:08
  • $\begingroup$ @ConstantineA.B. you’re not wrong. I just prefer to call it the correlation matrix because the unbiased method of time-averaging is known as the “covariance” method, and the pre- and post-windowed biased method is known as the “autocorrelation” method. $\endgroup$
    – Baddioes
    Jan 26 at 17:16
  • $\begingroup$ @sdnemina See the edit to my answer. $\endgroup$
    – Baddioes
    Jan 26 at 18:09

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