Chapter7 - Random-Number Generation Properties of Random...

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Random-Number Generation
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2 Properties of Random Numbers Random Number, R i , must be independently drawn from a uniform distribution with pdf: Two important statistical properties: Uniformity Independence. Figure: pdf for random numbers = otherwise , 0 1 0 , 1 ) ( x x f 2 1 2 ) ( 1 0 2 1 0 = = = x xdx R E U(0,1)
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3 Generation of Pseudo-Random Numbers “Pseudo”, because generating numbers using a known method removes the potential for true randomness. Goal: To produce a sequence of numbers in [ 0,1 ] that simulates, or imitates, the ideal properties of random numbers (RN). Important considerations in RN routines: Fast Portable to different computers Have sufficiently long cycle Replicable Closely approximate the ideal statistical properties of uniformity and independence.
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4 Linear Congruential Method [Techniques] To produce a sequence of integers, X 1 , X 2 , … between 0 and m-1 by following a recursive relationship:
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This note was uploaded on 03/01/2012 for the course ECON 102 taught by Professor Mehmet during the Spring '12 term at Abraham Baldwin Agricultural College.

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Chapter7 - Random-Number Generation Properties of Random...

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