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From: Peter Perkins <Peter.Perkins@MathRemoveThisWorks.com>
Newsgroups: comp.soft-sys.matlab
Subject: Re: How to generate non-normal correlated random vars
Date: Wed, 11 Nov 2009 10:06:44 -0500
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dandas wrote:

> 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? 

One possibility is to use the functions in the Statistics Toolbox for copulas.  This demo

<http://www.mathworks.com/products/statistics/demos.html?file=/products/demos/shipping/stats/copulademo.html>

gives the basic ideas behind those functions, while this documentation

<http://www.mathworks.com/access/helpdesk/help/toolbox/stats/brklrj3.html#bqttfgl-1>

goes a little deeper into the details of the functions themselves.

This demo

<http://www.mathworks.com/products/statistics/demos.html?file=/products/demos/shipping/stats/nonparametricCDFdemo.html>

might also be of interest.

Hope this helps.