Suppose I want to generate two random variables X,Y which are uncorrelated and uniformly distributed in [0,1]
.
The very naive code to generate such is the flowing, which calls the random
function twice:
import random xT=0 yT=0 xyT=0 for i in range(20000):
x = random.random()
y = random.random()
xT += x
yT += y
xyT += x*y
xyT/2000-xT/2000*yT/2000
However, the random number is really the pseudo-random number which is generated by a formula, therefore they are correlated.
Question is, how to generated two random variables uncorrelated or correlate as less as possible.
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