The generation of correlated Rayleigh random variates by inverse discrete Fourier transform

A number of different algorithms are used for the generation of correlated Rayleigh random variates. This paper presents an analysis of the statistical properties of methods based on the inverse discrete Fourier transform (IDFT). A modification of the algorithm of Smith (1975) is presented, the new method requiring exactly one-half the number of IDPT operations and roughly two-thirds the computer memory of the original method. Evaluations of and comparisons between various variate generation methods using meaningful quantitative measures are believed to be lacking. New quantitative quality measures for random variate generation have been proposed that are, in particular, meaningful and useful for digital communication system simulation. This paper presents the application of these measures to the IDFT method and three other methods of correlated variate generation, comparing the algorithms in terms of the quality of the generated samples and the required computational effort.