AR1Correlated
class AR1CorrelatedRNStream @JvmOverloads constructor(val lag1Corr: Double, stream: RNStreamIfc = KSLRandom.nextRNStream()) : RNStreamIfc(source)
Uses the autoregressive to anything algorithm to generate correlated uniform variates. The user supplies the correlation of the underlying AR(1) process. The resulting correlation in the u's may not necessarily meet this correlation, due to the correlation matching problem.