Two dimensional correlated sampling using alias technique

Siddharth Mohanty, Subho S. Banerjee, Johny Jose, Dushyant Goyal, Ajit K. Mohanty, and Federico Carminati

ACAT 2012


Monte-Carlo sampling of two dimensional correlated variables (with non zero covariance) has been carried out using an extended alias technique which was originally proposed by A. J. Walker to sample from an one dimensional distribution. Although, the method has been applied to a correlated two dimensional Gaussian data sample, it is quite general and can easily be extended for sampling from a multidimensional correlated data sample of any arbitrary distribution.


  doi = {10.1088/1742-6596/368/1/012045},
  url = {},
  year = 2012,
  month = {jun},
  publisher = {{IOP} Publishing},
  volume = {368},
  pages = {012045},
  author = {S Mohanty and S Banerjee and J Jose and D Goyal and A K Mohanty and F Carminati},
  title = {Two dimensional correlated sampling using alias technique},
  journal = {Journal of Physics: Conference Series},

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