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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.
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
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