[Rd] limitations to random number generator in 64-bits machines

[Bert Gunter]

AFAICS, these are statistics, not R, issues, and are completely off
topic here. You should post on a statistics list, such as
stats.stackexchange.com, instead.

Cheers,
Bert

On Thu, Feb 21, 2013 at 5:20 AM, Mauricio Zambrano-Bigiarini
<mauricio.zambrano at jrc.ec.europa.eu> wrote:
> Dear List,
>
> Recently I got the comment that the implementation of the random number
> generator used by default in R (Mersenne-Twister) could not be "safe" for
> 64-bits machines, so I decided to put the question here because I do not
> have expertise in that topic, and because this question could be "too
> technical for R-help's audience". I apologise if this is not the case.
>
> The period 2^19937 - 1 mentioned in the help page of 'RNG' for the
> Mersenne-Twister generator, is it the same for 32-bits machines and 64-bits
> ones ?
>
> In addition:
>
> -) If I want to generate two consecutive sequences s_1 and s_2 of n
> pseudo-random numbers each, and knowing how the Random number generator is
> coded, can we estimate in advance the correlation coefficient rho between s1
> and s2?
>
> -) Let us say that we compute the correlation coefficient rho between s_1
> and s_2 and find it is not null. How small should it be so that we can
> reasonably use  a statistical analysis that does suppose that the sequences
> are independent ?
>
>
> Thank in advance for any help you can provide,
>
> Mauricio Zambrano-Bigiarini
>
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-- 

Bert Gunter
Genentech Nonclinical Biostatistics

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