Generate a white noise signal with specified intensity.
This function generates a (multi-variable) white noise signal of specified intensity as either a sampled continuous time signal or a discrete-time signal. A white noise signal along a 1D array of linearly spaced set of times T can be computing using
V = ct.white_noise(T, Q, dt)
where Q is a positive definite matrix providing the noise intensity.
In continuous time, the white noise signal is scaled such that the integral of the covariance over a sample period is Q, thus approximating a white noise signal. In discrete time, the white noise signal has covariance Q at each point in time (without any scaling based on the sample time).
Array of linearly spaced times.
Noise intensity matrix of dimension nxn.
If 0, generate continuous-time noise signal, otherwise discrete time.
Noise signal indexed as V[i, j] where i is the signal index and j is the time index.
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