Two dimensional correlated sampling using alias technique
Siddharth Mohanty, Subho S. Banerjee, Johny Jose, Dushyant Goyal, Ajit K. Mohanty and Federico Carminati
Journal of Physics: Conference Series vol. 368 n. 1 p. 12045
Monte-Carlo sampling of two dimensional correlated variables (with non zero covariance) has been carried out using an extended alias technique which was originally proposed by A. J. Walker to sample from an one dimensional distribution. Although, the method has been applied to a correlated two dimensional Gaussian data sample, it is quite general and can easily be extended for sampling from a multidimensional correlated data sample of any arbitrary distribution.