Re: Uncorrelated random variables

[Bill Denney]

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.

Bill

--
"..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