An Algorithm for Generating Positively Correlated Beta Distributed Random Variables

An exact algorithm for generating two positively correlated Beta-distributed random variables is provided. The paired Beta-distributed random variables are generated from ratios of independent standard Gamma distributions. A positive correlation is achieved by introducing two shared standard gamma distributed random variables. Parameters of the shared random variables are found by equating the expected covariance between the paired random variables to the covariance commensurate with the target correlation. An application example is provided