Hurst's Rescaled Range Statistical Analysis for Pseudorandom Number Generators used in Physical Simulations

Preprint

13 November 1997

preprint
Published by arXiv in arXiv

https://doi.org/10.48550/arXiv.physics/9708009

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.

Keywords

PSEUDORANDOM NUMBER GENERATORS
RESCALED RANGE STATISTICAL
RANGE STATISTICAL ANALYSIS
MONTE CARLO

All Related Versions

Version 1, 1997-08-07, ArXiv
Version 2, 1997-11-11, ArXiv
Version 3, 1997-11-13, ArXiv
Published version: Physical Review E, 58 (2), 2586.

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