[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
## Re: Uncorrelated random variables

**From**: |
Steve C. Thompson |

**Subject**: |
Re: Uncorrelated random variables |

**Date**: |
Thu, 29 Jun 2006 13:13:21 -0700 |

**User-agent**: |
Mutt/1.5.11 |

On 29 Jun 06 20:03PM, Evgeny Turchyn wrote:
>* Suppose that we use Octave to generate a sample of*
>* size c from, say, normal distribution using function*
>* normal_rnd (0, 1, 1, c). Can we consider the obtained*
>* vector as a realization of vector which elements are*
>* uncorrelated random variables with distribution*
>* N(0;1) ? (The important moment for me is*
>* uncorrelatedness.)*
GNU Octave uses a state-of-the-art random number
generator. Though it is impossible to generate purely
random, uncorrelated random variables on a
deterministic machine like a digital computer, the
algorithms used by GNU Octave result in randomness
exceeding the requirements for most conceivable
applications.
Others will correct me if I'm wrong (I have only a
vague understanding of the exact algorithms used), but
I believe Octave uses the Mersenne Twister random
number generator to generate uniform random variables,
and the Marsalia-Tsang ziggurat method for generating
normal random variables.
Steve