[Gretl-users] the gretl RNG
Dr RJF Hudson
rjfhud at powerup.com.au
Sat Jan 15 21:05:35 EST 2011
Mr Cottrell....thank you for your reply given below.
For what it is worth, please may I suggest to all students/researchers, particularly
those studying time series, that at any time a simulation is utilised from which
inferences are drawn, then always have detailed knowledge about the data produced
by the RNG utilised. As you know an ARMA or an ARFIMA simulation relies upon
the production of random numbers. So when using a propriety Stats Package, its proper to know
the manner by which the RNG gives its output and to be able to justify the distribution
that feeds the ARMA generation.
Mr Cottrell's package below is the very best I've read.
----- Original Message -----
From: Allin Cottrell
To: Gretl list
Sent: Saturday, January 15, 2011 11:20 AM
Subject: Re: [Gretl-users] the gretl RNG
On Sat, 15 Jan 2011, Dr RJF Hudson wrote:
> 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.
The currently canonical test suite seems to be TestU01, devised by
P. L'Ecuyer and R. Simard. See
The elements of the test are derived from various sources,
including several from Donald Knuth of TeX fame.
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