Stream correlations in multiple recursive and congruential generators

R Davies and R J Brooks

Journal of Simulation, 2007, vol. 1, issue 2, 131-135

Abstract: The use of common random numbers is a method of variance reduction usually implemented by allocating different but repeatable random number streams to different distributions in a simulation. Linear or multiplicative congruential generators with linearly related seeds for the streams are commonly used. We show that there is a simple mathematical relationship between the ith number in streams of multiple recursive or congruential generators and that streams produced from linearly related seeds have serious undesirable correlations.

Date: 2007
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1057/palgrave.jos.4250013 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:tjsmxx:v:1:y:2007:i:2:p:131-135

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/tjsm20

DOI: 10.1057/palgrave.jos.4250013

Access Statistics for this article

Journal of Simulation is currently edited by Christine Currie

More articles in Journal of Simulation from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().