A Method for Generating a Sample of Two Uniformly Distributed Random Variables With Prescribed Coefficient of Correlation

An efficient method for generating samples of two uniformly distributed random variables (RVs) on the interval (- 1,1) with prescribed correlation coefficients is proposed in this article. The need for research arises during the application of the Monte Carlo method (MCM) in determining uncertainty when the input quantities are correlated. The results of the experiment in determining the voltage ratio of a resistive divider are presented. Uncertainty was determined using the guide to the expression of uncertainty in measurement (GUM). The results were confirmed by MCM using the proposed FOLD method.