[Rd] limitations to random number generator in 64-bits machines
Mauricio Zambrano-Bigiarini
mauricio.zambrano at jrc.ec.europa.eu
Thu Feb 21 14:20:40 CET 2013
Dear List,
Recently I got the comment that the implementation of the random number
generator used by default in R (Mersenne-Twister) could not be "safe"
for 64-bits machines, so I decided to put the question here because I do
not have expertise in that topic, and because this question could be
"too technical for R-help's audience". I apologise if this is not the case.
The period 2^19937 - 1 mentioned in the help page of 'RNG' for the
Mersenne-Twister generator, is it the same for 32-bits machines and
64-bits ones ?
In addition:
-) If I want to generate two consecutive sequences s_1 and s_2 of n
pseudo-random numbers each, and knowing how the Random number generator
is coded, can we estimate in advance the correlation coefficient rho
between s1 and s2?
-) Let us say that we compute the correlation coefficient rho between
s_1 and s_2 and find it is not null. How small should it be so that we
can reasonably use a statistical analysis that does suppose that the
sequences are independent ?
Thank in advance for any help you can provide,
Mauricio Zambrano-Bigiarini
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