Hi, Tom! I have looked at the pages you link to many times, they really are very good - my goal here was to get down to the nitty-gritty myself, just understand the details better.
Regarding possible bias in the Excel RNG, this was my first hunch as well, but when I repeated the experiment with W PM data generated in Stable32 I got similar results. The box-muller code goes in my toolbox, though! :) Thanks Ole On Fri, Oct 26, 2018 at 9:02 PM Tom Van Baak <[email protected]> wrote: > Ole, > > > I'm simulating some noise to try to improve my somewhat sketchy > > understanding of what goes on with the various noise types as shown on an > > ADEV plot. Nothing fancy, ~3600 points of gaussian random numbers > between 0 > > and 1 in excel, imported into Timelab as phase data, scaled to ns. > > I forgot to mention this page where I use Stable32 and TimeLab to look at > all 5 noise types: > > http://leapsecond.com/pages/adev-fm/ > > > You are correct, my statement was imprecise - I generate numbers between > 0 > > and 1, but then multiply that with a function in Excel that yields a > normal > > distribution with a standard distribution of 1. > > If you suspect problems with Excel, perhaps try something in Python or C > instead. > That also will make it possible to work with millions of points when > necessary. > For random numbers I use ancient code by George Marsaglia, and also > Mersenne Twister 19937. > To convert uniform [0-1] random to Gaussian I use: > > // Get normal (Gaussian) random sample with mean 0 and standard deviation 1 > // See https://en.wikipedia.org/wiki/Marsaglia_polar_method > double normal (void) > { > // Use Box-Muller algorithm > double u1 = genrand1(); > double u2 = genrand1(); > double r = sqrt(-2.0 * log(u1)); > double pi = 4 * atan(1); > double theta = 2.0 * pi * u2; > return r * sin(theta); > } > > /tvb > > > _______________________________________________ > time-nuts mailing list -- [email protected] > To unsubscribe, go to > http://lists.febo.com/mailman/listinfo/time-nuts_lists.febo.com > and follow the instructions there. > _______________________________________________ time-nuts mailing list -- [email protected] To unsubscribe, go to http://lists.febo.com/mailman/listinfo/time-nuts_lists.febo.com and follow the instructions there.
