Generation of Pseudorandom Numbers with Specified Univariate Distributions and Correlation Coefficients
- 1 January 1975
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Systems, Man, and Cybernetics
- Vol. SMC-5 (5) , 557-561
- https://doi.org/10.1109/tsmc.1975.5408380
Abstract
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.Keywords
This publication has 6 references indexed in Scilit:
- Digital generation of random sequencesIEEE Transactions on Automatic Control, 1971
- Generation of random signals with specified probability density functions and power density spectraIEEE Transactions on Automatic Control, 1968
- A Note on the Generation of Random Normal DeviatesThe Annals of Mathematical Statistics, 1958
- The correlation function of smoothly limited Gaussian noiseIEEE Transactions on Information Theory, 1957
- Linear Transformation to a Set of Stochastically Dependent Normal VariablesJournal of the American Statistical Association, 1957
- Generating a Gaussian sampleIEEE Transactions on Information Theory, 1956