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## RE: random numbers

**From**: |
Ted Harding |

**Subject**: |
RE: random numbers |

**Date**: |
Mon, 15 Feb 1999 13:14:19 -0000 (GMT) |

On 15-Feb-99 Gerd BÃ¼rger wrote:
>* I am not that familiar with random number generators. But is it*
>* reasonable that for 2 independant random series, generated with*
>* *
>* e=normal_rnd(100000,2);*
>* *
>* I always find cor(e(:,1),e(:,2)) in the order of 1e-3?*
>* *
>* For my taste, this is a little too much.*
>* *
>* Is it?*
For independent Normal X,Y, the standard deviation of the correlation
coefficient R is 1/sqrt(n) -- in this case, therefore, approx = 0.003
For large values of n (such as 100000), the distribution of R is close
to Normal.
So values of "cor(e(:,1),e(:,2)) in the order of 1e-3" are well within
the range of values to be expected. Anything smaller than say 1e-4
would in fact be rather unlikely (P approx = 0.025).
Best wishes,
Ted.
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E-Mail: (Ted Harding) <address@hidden>
Date: 15-Feb-99 Time: 13:14:19
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