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Subject: How to generate non-normal correlated random vars
Date: Sat, 7 Nov 2009 14:17:01 +0000 (UTC)
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Hi,

In the past, I used choleskey with correlation matrix to generate correlated random numbers for 12 distributions.

Now I have historical data that fit into arbitrary distributions (similar to generalized pareto). How do I generate correlated random numbers? what information do I need? 

Thanks,
dandas