dorsal/arxiv
View SchemaHurst's Rescaled Range Statistical Analysis for Pseudorandom Number Generators used in Physical Simulations
| Authors | B. M. Gammel |
|---|---|
| Categories | |
| ArXiv ID | physics/9708009 |
| URL | https://arxiv.org/abs/physics/9708009 |
| DOI | 10.1103/PhysRevE.58.2586 |
Abstract
The rescaled range statistical analysis (R/S) is proposed as a new method to detect correlations in pseudorandom number generators used in Monte Carlo simulations. In an extensive test it is demonstrated that the RS analysis provides a very sensitive method to reveal hidden long run and short run correlations. Several widely used and also some recently proposed pseudorandom number generators are subjected to this test. In many generators correlations are detected and quantified.
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"abstract": "The rescaled range statistical analysis (R/S) is proposed as a new method to\ndetect correlations in pseudorandom number generators used in Monte Carlo\nsimulations. In an extensive test it is demonstrated that the RS analysis\nprovides a very sensitive method to reveal hidden long run and short run\ncorrelations. Several widely used and also some recently proposed pseudorandom\nnumber generators are subjected to this test. In many generators correlations\nare detected and quantified.",
"arxiv_id": "physics/9708009",
"authors": [
"B. M. Gammel"
],
"categories": [
"physics.comp-ph"
],
"doi": "10.1103/PhysRevE.58.2586",
"title": "Hurst\u0027s Rescaled Range Statistical Analysis for Pseudorandom Number Generators used in Physical Simulations",
"url": "https://arxiv.org/abs/physics/9708009"
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