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Re: Uncorrelated random variables

From: Bill Denney
Subject: Re: Uncorrelated random variables
Date: Fri, 30 Jun 2006 07:48:52 -0400 (EDT)

On Thu, 29 Jun 2006, Steve C. Thompson wrote:

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.

I believe that you are correct about the generators, and the Mersenne Twister is uncorrelated for 2^19937-1 integers (aka about 10^6000 integers) before it is correlated. It's good enough for just about any scientific work, but it's not good for cryptography, though, for reasons I'm not qualified to explain.


"..that would require that my computer have enough processor speed and
memory to be able to rub its tummy and pat its head."
  -- Kelly Klega

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