We propose a novel method for generating random sequences matching both a target non-Gaussian distribution and a target autocorrelation. In the proposed scheme, samples matching the target distribution are drawn independently and then suitably rearranged to match the target autocorrelation. Our method overcomes the difficulties of the standard method in generating sequences with unknown inverse distribution. Many examples are included.
['José Cândido Silveira Santos Filho', 'Michel Daoud Yacoub']
Coloring Non-Gaussian Sequences