Can anyone provide a simple example of picking from two distributions, such that the two generated time series give a specified value of Pearson's correlation coefficient? I would like to do this in a simple monte-carlo risk assessment. Ideally, the method should take two arbitrary CDFs and a correlation coefficient as input.
I asked a similar question on picking from correlated distributions on stats.stackexchange.com and learned that that mathematical machinery required is a called a copula. However I found quite a steep learning curve waiting after consulting the references... some simple examples would be extremely helpful.