Generate autocorrelated timeseries with each observation following Weibull distribution

[luboxing]

Hi -- I am trying to generate auto-correlated time-series of say 24 intervals (24 hours in a day) with each interval following a Weibull distribution (of different parameters across hours). My understanding is that each value depends on the last one so they have to be generated in sequence. The training data is thousands of consequtive days (with 24-hours each) from history. I'd also like to differentiate month and weekday(0)/weekend(1).

Any thoughts? 

Thanks,

Bo