Mmm ..random number generation is a
massive subject
never too far from a practitioners mind, is it.
Its always attached to a question mark with
me.
Full marks are surely due to the wizards
behind the reseach.
In one sentence or two, do you know, please what
tests are
used to demonstrate randomness
of the output observations ?
Just asking, is all.
Thanks everybody
Best regards from Richard Hudson
----- Original Message -----
Sent: Saturday, January 15, 2011 2:12
AM
Subject: [Gretl-users] the gretl
RNG
For some years now the random number generator (RNG) used in
gretl
has been the Mersenne Twister as implemented in the GLib
library.
We've recently been investigating an alternative, namely
the
SIMD-oriented Fast Mersenne Twister (SFMT); see
http://www.math.sci.hiroshima-u.ac.jp/~m-mat/MT/SFMT/
We
find that this new variant is faster, has better
equidistributional
properties, and exhibits quicker recovery from
poor initialization. We're
therefore going to make SFMT the
default RNG in gretl: this will be in the
next release (gretl
1.9.4) and will land in CVS and the snapshots for
Windows and Mac
shortly.
This change is (necessarily) backward
incompatible, in the sense
that a gretl script that calls for random values
using a specified
seed will now produce a different series of random values
from
before. However, to preserve compatibility for anyone who wants
to
replicate previous studies exactly, you will be able to call for
use
of the old gretl RNG. The command to do this will be
set RNG
MT
Having done that, you can switch back to the new default
via
set RNG SFMT
Allin
Cottrell
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