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Generation of Pseudorandom Numbers with Specified Univariate Distributions and Correlation Coefficients

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2 Author(s)
Shing Ted Li ; Navy Electronics Laboratories, San Diego, Calif. ; Joseph L. Hammond

This correspondence presents a procedure for generating correlated random variables with specified non-Gaussian probability distribution functions (pdf's) such as might be required for Monte Carlo simulation studies. Specifically, a method is presented for generating an arbitrary number of pseudorandom numbers each with a prescribed probability distribution and with a prescribed correlation coefficient matrix for the collection of random numbers. Collections of typical numbers generated with the method are evaluated with chi-squared tests for the distribution functions and with confidence intervals for the correlation coefficients derived from maximum likelihood estimates. In all cases tested the generated numbers passed the tests.

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IEEE Transactions on Systems, Man, and Cybernetics  (Volume:SMC-5 ,  Issue: 5 )