Generation of crosscorrelated random processes

In this paper the author proposes a method which will allow simple and fast generation of two sets of random variables with given probability mass fun ctions (PMFs) and crosscorrelation sequences (CCS). It is based on the comp osition of three sets of independent and identically distributed discrete r andom variables, two of which are correlated with each other only when the lag is null. The method is applicable in cases where, once experimental mea surements have established the statistical characteristics of two stationar y random processes in terms of PMFs and CCS, it is necessary to implement a simulation model, that is, it is necessary to generate random discrete var iables whose PMFs and CCS match the empirical histograms. A case study is g iven to apply the method proposed to modelling the relationships between th e monomedia streams making up a multimedia stream. (C) 1999 Published by El sevier Science B.V. All rights reserved.