设有色噪声序列{e(k)}为
1 1 2
1 1 2 3
( ) ( ) ( ) 1 0.5 0.2 ( )
( ) 1 1.5 0.7 0.1
e k C z k z z k
D z z z z
ξ ξ
? ? ?
? ? ? ?
+ +
= =
? + +
式中，ξ (k)为方差为 1的白噪声。
注意：仿真程序中，白噪声在MATLAB 中由randn 函数产生，randn 函数前
面的系数表示白噪声的均方差，而非方差。(Set colored noise sequence {e (k)}
112
1123
() () () () 10.5 0.2 ()
() 11.5 0.7 0.1
E K C Z K Z Z K
D Z Z Z Z
Zeta Zeta
- - -
- - - -
+ +
= =
- + +
In the formula, zeta (k) for the white noise variance of 1.
Note: in the simulation program, white noise is generated by the randn function in MATLAB, before the randn function
The coefficients of the surface represent the mean square variance of white noise, but not the variance.)