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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.
Li et al. (Wed,) studied this question.