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Modified square-root method for generating correlated Gaussian pseudorandom variables

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2 Author(s)
Komo, J.J. ; Clemson University, Clemson, SC ; Aridgides, A.

This letter presents a modified-square-root method for generating N correlated Gaussian pseudorandom variables from K ≤ N independent Gaussian pseudorandom variables. This modified square root method yields greater accuracy using fewer nonzero elements than the eigenvalue method. Also since the modified square root method does not require iteration the transformation matrix can be generated much faster than with the eigenvalue method.

Published in:

Proceedings of the IEEE  (Volume:68 ,  Issue: 11 )

Date of Publication:

Nov. 1980

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