Generation of a pseudo-random set with desired correlation and probability distribution

Abstract

Pseudo-random sequences can be computed to approximate a distribution or a sample correlation function. How ever, conventional techniques do not allow the control of both distribution and correlation, except for a few special cases. This paper presents a more general and more accurate procedure, based on correlation transfer, to generate a pseudo-random set with select ed distribution and correlation. Two sets are com puted, an ordered set in which the sample values cor respond to the desired probability distribution and an auxiliary set with the desired correlation and arbi trary distribution. The auxiliary set provides the addresses to scramble the ordered set. Thus, the desired correlation is injected without changing the distribution. The representation of continuous and discrete distributions is optimum for a specified set size. An example illustrates the method.