A method to generate autocorrelated uniform random numbers
R.Thomas Willemain, A.Philip Desautels · Journal of Statistical Computation and Simulation · 1993
We present a simple, fast method to generate autocorrelated uniform random numbers. The “sum of uniforms” method adds a pair of U(0,1) random numbers, transforms the sum to a third U(0,1) random number, and uses this third random number as one member of the next pair. The method produces any desired level of positive or negative correlation between successive random numbers.