A composite approach to generating autocorrelated sequences

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Abstract
In this paper a procedure is developed for internally generating autocorrelated sequences of variates for use in simulation of systems such as production- inventory systems, queueing systems, and economic systems. The procedure is based on the composite method, or method of mixtures. The procedure permits specification of the mean and variance of the dis tribution of variates, the magnitude and direction (positive or negative) of the lag-1 autocorrelation of the sequence, and the general form of the distrib ution. In general, the procedure does not permit specification of higher-order moments or higher-order lagged correlations. An illustrative example is included. A flow chart for the procedure is given, and a GPSS program is available.

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