[Scilab-users] needed: SciLab routine for generating Weibull random variables with prior given autocorrelation

[Stéphane Mottelet]

Why don't start with a simple autoregressive process ? See e.g.

https://en.wikipedia.org/wiki/Autoregressive_model


Le 03/05/2018 à 11:15, Heinz Nabielek a écrit :
> Uniform U(0,1) random deviates with given autocorrelation would be good enough…...
>
>
>> On 03.05.2018, at 10:57, Heinz Nabielek <heinznabielek at me.com> wrote:
>>
>> Friends:
>>
>> urgently needed: a SciLab routine for generating Weibull random variables with prior given autocorrelation.
>>
>> Uncorrelated is easy with
>> vc*((-log(grand(1,5,"def"))).^(1/m)) producing
>> 0.9666848   1.4646143   10.402793   5.9513675   3.3241823
>> with characteristic velocity vc=7 and modulus m=2.
>>
>> But I need Weibull deviates with given autocorrelation, say rho=0.80
>>
>> Literature has dozen of references on the subject which either do not work or I do not know how to code.
>>
>> Any help here?
>> Heinz
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