Markov:

Path: Math/Probability

% Generate random output from a Gauss-Markov process.  
 The autocorrelation function for a Gauss-Markov process is

   sigma^2*exp(-abs(tau)/tCorr)

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   Form:
   [x, tau] = Markov( sigma, tCorr, n, tSamp )
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   Inputs
   ------
   sigma        (:)    Square root of mean squared value
   tCorr        (:)    Correlation time constant
   n            (1,1)  Number of samples
   tSamp        (1,1)  Sampling period

   -------
   Outputs
   -------
   x          (:,n)    Output
   tau          (n)    Time shifts

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	Reference: Brown R.G. and P.Y.C. Hwang (1992). Introduction to Random
   Signals and Applied Kalman Filtering. John Wiley & Sons, New York. 134.
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