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

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

1997-08-07

arxiv.org/abs/physics/9708009v3

Physics

Computational Physics

12 pages, 12 figures, 6 tables. Replaces previous version to correct citation [19]

Scientific paper

10.1103/PhysRevE.58.2586

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.

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