A method to generate autocorrelated uniform random numbers

A method to generate autocorrelated uniform random numbers

We present a simple, fast method to generate autocorrelated uniform random numbers. The "sum of uniforms" method adds a pair of U(0,1) random numbers, transforms the sum to a third U(0,1) random number, and uses this third random number as one member of the next pair. The method produces a...

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Veröffentlicht in:Journal of statistical computation and simulation 1993-02, Vol.45 (1-2), p.23-31
Hauptverfasser: Willemain, R.Thomas, Desautels, A.Philip
Format: Artikel
Sprache:eng
Schlagworte:
Correlation induction
Exact sciences and technology
Exponential distribution
Mathematics
Monte Carlo
Numerical analysis
Numerical analysis. Scientific computation
Numerical simulation
Random variate generation
Sciences and techniques of general use
simulation
Uniform distribution
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Beschreibung
Zusammenfassung:We present a simple, fast method to generate autocorrelated uniform random numbers. The "sum of uniforms" method adds a pair of U(0,1) random numbers, transforms the sum to a third U(0,1) random number, and uses this third random number as one member of the next pair. The method produces any desired level of positive or negative correlation between successive random numbers.
ISSN:0094-9655
1563-5163
DOI:10.1080/00949659308811469