I have multiple (> 2) correlated data series and want to sample from them. Each of the series has several thousand historical value, unfortunately I do not know which datapoints were recorded together. The only thing I know is the correlation coefficients between any pair of those series. I want to sample from those historic values, but respect the correlation between those. Is there any way to do this?
Update: I should also add, the data series do not necessarily have the same amount of data.