From mauricio.zambrano at jrc.ec.europa.eu  Thu Feb 21 14:20:40 2013
From: mauricio.zambrano at jrc.ec.europa.eu (Mauricio Zambrano-Bigiarini)
Date: Thu, 21 Feb 2013 14:20:40 +0100
Subject: [Rd] limitations to random number generator in 64-bits machines
Message-ID: <51261F28.1060604@jrc.ec.europa.eu>

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