In this letter, a procedure for generating N Rayleigh fading envelopes with
any desired covariance matrix is given. This method, numerical in nature,
enables researchers to simulate correlated fading envelopes, for use in: 1)
the study of the impact of correlation on diversity system performance and
2) the study of multicarrier CDMA (MC-CDMA), where the number of carriers
notably exceeds the degree of system diversity.