|Colors of noise|
In science, Brownian noise ( Sample (help·info)), also known as Brown noise or red noise, is the kind of signal noise produced by Brownian motion, hence its alternative name of random walk noise. The term "Brown noise" does not come from the color, but after Robert Brown, who documented the erratic motion for multiple types of inanimate particles in water. The term "red noise" comes from the "white noise"/"white light" analogy; red noise is strong in longer wavelengths, similar to the red end of the visible spectrum.
The graphic representation of the sound signal mimics a Brownian pattern. Its spectral density is inversely proportional to f2, meaning it has higher intensity at lower frequencies, even more so than pink noise. It decreases in intensity by 6 dB per octave (20 dB per decade) and, when heard, has a "damped" or "soft" quality compared to white and pink noise. The sound is a low roar resembling a waterfall or heavy rainfall. See also violet noise, which is a 6 dB increase per octave.
Strictly, Brownian motion has a Gaussian probability distribution, but "red noise" could apply to any signal with the 1/f2 frequency spectrum.
A Brownian motion, also called a Wiener process, is obtained as the integral of a white noise signal:
meaning that Brownian motion is the integral of the white noise , whose power spectral density is flat:
Note that here denotes the Fourier transform, and is a constant. An important property of this transform is that the derivative of any distribution transforms as
from which we can conclude that the power spectrum of Brownian noise is
An individual Brownian motion trajectory presents a spectrum , where the amplitude is a random variable, even in the limit of an infinitely long trajectory.
Brown noise can be produced by integrating white noise.That is, whereas (digital) white noise can be produced by randomly choosing each sample independently, Brown noise can be produced by adding a random offset to each sample to obtain the next one. A leaky integrator might be used in audio or electromagnetic applications to ensure the signal does not "wander off", that is, exceed the limits of the system's dynamic range. Note that while the first sample is random across the entire dynamic range that the sound sample can take on, the remaining offsets from there on are a tenth or thereabouts, leaving room for the signal to vary randomly within that range.
Brownian motion, or pedesis, is the random motion of particles suspended in a medium.
In physics, a Langevin equation is a stochastic differential equation describing the time evolution of a subset of the degrees of freedom. These degrees of freedom typically are collective (macroscopic) variables changing only slowly in comparison to the other (microscopic) variables of the system. The fast (microscopic) variables are responsible for the stochastic nature of the Langevin equation. One application is to Brownian motion, calculating the statistics of the random motion of a small particle in a fluid due to collisions with the surrounding molecules in thermal motion.
The power spectrum of a time series describes the distribution of power into frequency components composing that signal. According to Fourier analysis, any physical signal can be decomposed into a number of discrete frequencies, or a spectrum of frequencies over a continuous range. The statistical average of a certain signal or sort of signal as analyzed in terms of its frequency content, is called its spectrum.
In probability theory and statistics, the term Markov property refers to the memoryless property of a stochastic process. It is named after the Russian mathematician Andrey Markov. The term strong Markov property is similar to the Markov property, except that the meaning of "present" is defined in terms of a random variable known as a stopping time.
The Short-time Fourier transform (STFT), is a Fourier-related transform used to determine the sinusoidal frequency and phase content of local sections of a signal as it changes over time. In practice, the procedure for computing STFTs is to divide a longer time signal into shorter segments of equal length and then compute the Fourier transform separately on each shorter segment. This reveals the Fourier spectrum on each shorter segment. One then usually plots the changing spectra as a function of time, known as a spectrogram or waterfall plot, such as commonly used in Software Defined Radio (SDR) based spectrum displays. Full bandwidth displays covering the whole range of an SDR commonly use Fast Fourier Transforms (FFTs) with 2^24 points on desktop computers.
In signal processing, a finite impulse response (FIR) filter is a filter whose impulse response is of finite duration, because it settles to zero in finite time. This is in contrast to infinite impulse response (IIR) filters, which may have internal feedback and may continue to respond indefinitely.
The fluctuation–dissipation theorem (FDT) or fluctuation–dissipation relation (FDR) is a powerful tool in statistical physics for predicting the behavior of systems that obey detailed balance. Given that a system obeys detailed balance, the theorem is a general proof that thermodynamic fluctuations in a physical variable predict the response quantified by the admittance or impedance of the same physical variable, and vice versa. The fluctuation–dissipation theorem applies both to classical and quantum mechanical systems.
In probability theory, in particular in the study of stochastic processes, a stopping time is a specific type of “random time”: a random variable whose value is interpreted as the time at which a given stochastic process exhibits a certain behavior of interest. A stopping time is often defined by a stopping rule, a mechanism for deciding whether to continue or stop a process on the basis of the present position and past events, and which will almost always lead to a decision to stop at some finite time.
In probability theory, fractional Brownian motion (fBm), also called a fractal Brownian motion, is a generalization of Brownian motion. Unlike classical Brownian motion, the increments of fBm need not be independent. fBm is a continuous-time Gaussian process BH(t) on [0, T], that starts at zero, has expectation zero for all t in [0, T], and has the following covariance function:
Instantaneous phase and frequency are important concepts in signal processing that occur in the context of the representation and analysis of time-varying functions. The instantaneous phase of a complex-valued function s(t), is the real-valued function:
In ultrafast optics, spectral phase interferometry for direct electric-field reconstruction (SPIDER) is an ultrashort pulse measurement technique originally developed by Chris Iaconis and Ian Walmsley.
In mathematics, a stopped process is a stochastic process that is forced to assume the same value after a prescribed time.
In many-body theory, the term Green's function is sometimes used interchangeably with correlation function, but refers specifically to correlators of field operators or creation and annihilation operators.
The method of reassignment is a technique for sharpening a time-frequency representation by mapping the data to time-frequency coordinates that are nearer to the true region of support of the analyzed signal. The method has been independently introduced by several parties under various names, including method of reassignment, remapping, time-frequency reassignment, and modified moving-window method. In the case of the spectrogram or the short-time Fourier transform, the method of reassignment sharpens blurry time-frequency data by relocating the data according to local estimates of instantaneous frequency and group delay. This mapping to reassigned time-frequency coordinates is very precise for signals that are separable in time and frequency with respect to the analysis window.
In mathematics — specifically, in stochastic analysis — an Itô diffusion is a solution to a specific type of stochastic differential equation. That equation is similar to the Langevin equation used in physics to describe the Brownian motion of a particle subjected to a potential in a viscous fluid. Itô diffusions are named after the Japanese mathematician Kiyosi Itô.
In statistical signal processing, the goal of spectral density estimation (SDE) is to estimate the spectral density of a random signal from a sequence of time samples of the signal. Intuitively speaking, the spectral density characterizes the frequency content of the signal. One purpose of estimating the spectral density is to detect any periodicities in the data, by observing peaks at the frequencies corresponding to these periodicities.
The narrow escape problem is a ubiquitous problem in biology, biophysics and cellular biology.
In mathematics, the walk-on-spheres method (WoS) is a numerical probabilistic algorithm, or Monte-Carlo method, used mainly in order to approximate the solutions of some specific boundary value problem for partial differential equations (PDEs). The WoS method was first introduced by Mervin E. Muller in 1956 to solve Laplace's equation, and was since then generalized to other problems.
The redundancy principle in biology expresses the need of many copies of the same entity to fulfill a biological function. Examples are numerous: disproportionate numbers of spermatozoa during fertilization compared to one egg, large number of neurotransmitters released during neuronal communication compared to the number of receptors, large numbers of released calcium ions during transient in cells and many more in molecular and cellular transduction or gene activation and cell signaling. This redundancy is particularly relevant when the sites of activation is physically separated from the initial position of the molecular messengers. The redundancy is often generated for the purpose of resolving the time constraint of fast-activating pathways. It can be expressed in terms of the theory of extreme statistics to determine its laws and quantify how shortest paths are selected. The main goal is to estimate these large numbers from physical principles and mathematical derivations.
In many-body physics, the problem of analytic continuation is that of numerically extracting the spectral density of a Green function given its values on the imaginary axis. It is a necessary post-processing step for calculating dynamical properties of physical systems from quantum Monte Carlo simulations, which often compute Green function values only at imaginary-times or Matsubara frequencies.