LARGE SAMPLE SIMULATION OF FLICKER NOISE

Charles A. Greenhall

Abstract:	The computer simulation of complex systems often requires efficient recursive algorithms to generate various noise types. Flicker noise often occurs in frequency and time systems and long samples (a million or more lags) are needed. In June of 1971 two papers on dicker noise simulation were published independently. Mandelbrotll based the simulation on the sum of several low pass filtered white, Gaussian noises, He showed that the noise level and the filter passband of each noise can be selected to provide an approximate flicker noise over a finite but arbitrary spectral range. The precision of it to the flicker spectrum can be arbitrarily good depending on the number of independent elemente used. Barnes and Jarvislal based their simulation on a cascade of lead-lag filters. Similarly, the extent and goodness of fit of the output noise depends only on the number of filter stages used. The Barnes-Jarvis procedure has an exact inverse which has advantages over the Mandelbrot method in some statistical applications other than noise simulation. The Barnes-Jarvis method can be expressed as an ARIMA model, but certain problems arise from the loss of significant digits.
Published in:	Proceedings of the 19th Annual Precise Time and Time Interval Systems and Applications Meeting December 1 - 3, 1989 Sheraton Hotel Redondo Beach, California
Pages:	203 - 217
Cite this article:	Greenhall, Charles A., "LARGE SAMPLE SIMULATION OF FLICKER NOISE," Proceedings of the 19th Annual Precise Time and Time Interval Systems and Applications Meeting, Redondo Beach, California, December 1987, pp. 203-217.
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