Might I suggest taking a poll (even though unscientific) of how many people will be affected by a change in default RNG? My totally arbitrary guess is very few, if any.
If I'm not mistaken, Python had only recently changed the default RNG to Mersenne-Twister. If Python can do it, I should think R can, too, without too much pain... Just my $0.02... Andy > -----Original Message----- > From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED]] > Sent: Tuesday, January 28, 2003 3:53 PM > To: Charles Annis, P.E. > Cc: [EMAIL PROTECTED] > Subject: RE: [R] random number generator? > > > Can I suggest > > RNGkind("Mersenne-Twister", "Inversion") > > and especially the use of Inversion where tail behaviour of > the normal is > important. > > Were it not for concerns about reproducibility we would have > switched to > Inversion a while back. > > On Tue, 28 Jan 2003, Charles Annis, P.E. wrote: > > > > > Earlier today I reported finding an unbalanced number of > observations in > > the p=0.0001 tails of rnorm. > > > > Many thanks to Peter Dalgaard who suggested changing the normal.kind > > generator. > > > > Using RNGkind(kind = NULL, normal.kind ="Box-Muller") > > seems to have provided the remedy. For example: > > > > > observed.fraction.below > > [1] 0.000103 > > > observed.fraction.above > > [1] 0.000101 > > > > > > > Thank you, Peter! > > > > > > Charles Annis, P.E. > > > > [EMAIL PROTECTED] > > phone: 561-352-9699 > > eFAX: 503-217-5849 > > http://www.StatisticalEngineering.com > > > > > > -----Original Message----- > > From: [EMAIL PROTECTED] > > [mailto:[EMAIL PROTECTED]] On Behalf Of Peter > Dalgaard BSA > > Sent: Tuesday, January 28, 2003 2:36 PM > > To: Charles Annis, P.E. > > Cc: [EMAIL PROTECTED] > > Subject: Re: [R] random number generator? > > > > "Charles Annis, P.E." <[EMAIL PROTECTED]> writes: > > > > > Dear R-Aficionados: > > > > > > I realize that no random number generator is perfect, so > what I report > > > below may be a result of that simple fact. However, if I > have made an > > > error in my thinking I would greatly appreciate being corrected. > > > > > > I wish to illustrate the behavior of small samples (n=10) and so > > > generate 100,000 of them. > > > > > > n.samples <- 1000000 > > > sample.size = 10 > > > p <- 0.0001 > > > z.normal <- qnorm(p) > > > # generate n.samples of sample.size each from a > normal(mean=0, sd=1) > > > density > > > # > > > small.sample <- matrix(rnorm(n=sample.size*n.samples, > mean=0, sd=1), > > > nrow=n.samples, ncol=sample.size) > > > # Verify that from the entire small.sample matrix, p > sampled values > > are > > > below, p above. > > > # > > > observed.fraction.below <- sum(small.sample < > > > z.normal)/length(small.sample) > > > observed.fraction.above <- sum(small.sample > > > > -z.normal)/length(small.sample) > > > > > > > observed.fraction.below > > > [1] 6.3e-05 > > > > observed.fraction.above > > > [1] 0.000142 > > > > > > > > > > I've checked the behavior of the entire sample's mean and > median and > > > they seem fine. The total fraction in both tails is 0.0002, as it > > > should be. However in every instance about 1/3 are in > the lower tail, > > > 2/3 in the upper. I also observe the same 1/3:2/3 ratio for one > > million > > > samples of ten. > > > > > > Is this simply because random number generators aren't > perfect? Or > > have > > > I stepped in something? > > > > > > Thank you for your kind counsel. > > > > You stepped in something, I think, but I probably shouldn't > elaborate > > on the metaphor ... There's an unfortunate interaction > between the two > > methods that are used for generating uniform and normal > variables (the > > latter uses the former). This has been reported a couple of times > > before and typically gives anomalous tail behaviour. Changing one of > > the generators (see help(RNGkind)) usually helps. > > > > > > -- > Brian D. Ripley, [EMAIL PROTECTED] > Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ > University of Oxford, Tel: +44 1865 272861 (self) > 1 South Parks Road, +44 1865 272866 (PA) > Oxford OX1 3TG, UK Fax: +44 1865 272595 > > ______________________________________________ > [EMAIL PROTECTED] mailing list > http://www.stat.math.ethz.ch/mailman/listinfo/r-help > ------------------------------------------------------------------------------ ______________________________________________ [EMAIL PROTECTED] mailing list http://www.stat.math.ethz.ch/mailman/listinfo/r-help
