I have a time series (X) representing a natural phenomenon (wind speed, measured every 15 minutes) and I have to create similar time series (up to 20, Xdi, i=1,...,20) with the same structure (same average, same standard deviation, same percentiles distribution...) but with a predetermined correlation (about 0.7) between each other.
Is there any defined method for this operation? Can you provide a link to a book, a paper, a page, or just the name of the method? Thank you very much,
A couple of clarifications:
for "pre-defined correlation" I mean that if I have a seed time series X and I want to create three derived time series Xd1, Xd2, Xd3, then the correlation among two of the time series must be equal (almost) to a value chosen (e.g.: 0.7). For example Correlation(Xdi, Xdj) = 0.7
The comment of charles.y.zheng answers the question (thanks!), but the resulting time series (AZ in the example) does not have necessarily the same autocorrelation of the original seed. (in the original time series 0 tends to be followed by 0 and 1 tends to be followed by 1, the values are clustered). Sorry to haven't specified also this requirement, but I noticed after trying the solution proposed.
I guess that I can fix the problem by manipulating the values in Z. This adds a second section of the question: Is there a defined method to create a time series with a pre determined autocorrelation?
p.s.: sorry if the language is not correct, I'm not a statistician but a programmer, I try to do my best but if there is something not clear, just ask for details and clarifications.