[Gretl-users] random number generation

Riccardo (Jack) Lucchetti r.lucchetti at univpm.it
Tue Nov 15 19:41:01 EST 2016


On Tue, 15 Nov 2016, Allin Cottrell wrote:

>
> I don't have much to say about that reference since I'm not sure from looking 
> at Dirk's slides how the timings were obtained. That said, I can say that my 
> timings for 200 replications of (1 million random normals) show R's rnorm() 
> function -- from the current R release -- as taking about 5 times as long as 
> gretl and Octave. Not in the ballpark.
>
> As regards gretl vs Octave, we're now a little faster (using basically the 
> same normals code, but gretl's generation of the underlying uniform variates 
> is faster).
>
> Maybe Dirk is using a "souped up" alternative to R's standard rnorm(). That 
> wasn't clear to me.

I ran a few normality tests by following Dirk's recipes. Not as many as he 
did, but I'd be inclined to say that we are ok, and by a very reassuring 
margin too.

-------------------------------------------------------
   Riccardo (Jack) Lucchetti
   Dipartimento di Scienze Economiche e Sociali (DiSES)

   Università Politecnica delle Marche
   (formerly known as Università di Ancona)

   r.lucchetti at univpm.it
   http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------


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