Hurst's Rescaled Range Statistical Analysis for Pseudorandom Number Generators used in Physical Simulations
Computational Physics
2009-10-30 v3
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.
Cite
@article{arxiv.physics/9708009,
title = {Hurst's Rescaled Range Statistical Analysis for Pseudorandom Number Generators used in Physical Simulations},
author = {B. M. Gammel},
journal= {arXiv preprint arXiv:physics/9708009},
year = {2009}
}
Comments
12 pages, 12 figures, 6 tables. Replaces previous version to correct citation [19]