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Assuming Y=f(x1,..,Xn), while doing Monte Carlo simulation, I need to sample x1, ..xn based on their probabilistic distribution. However, these xi are correlated with each other. What are the available sampling mechanisms for this kind of scenario?

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closed as unclear what you're asking by Xi'an, Michael Chernick, kjetil b halvorsen, dsaxton, mkt Feb 12 at 8:05

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    $\begingroup$ Generating or simulating from a multivariate distribution is standard, see e.g. Devroye's reference book. But the question is unclear as to whether you want correlation or you need to handle correlated simulations (with an MCMC tag that is not directly connected with the question). $\endgroup$ – Xi'an Jan 30 at 17:30
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    $\begingroup$ what is n? Is it number of simulations or dimensionality of the factors? $\endgroup$ – Aksakal Jan 30 at 19:10
  • $\begingroup$ n is the dimensionality of the factors $\endgroup$ – user3269 Feb 5 at 21:04