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Long-range correlation analysis of the Wichmann-Hill random number generator
Authors:A De Matteis  S Pagnutti
Institution:(1) Comitato Nazionale Energia Nucleare ed Energie Alternative, Bologna, Italy
Abstract:The distribution of points (r n,r n+s), n = 0, 1, 2,...whose coordinates are terms at distance s of the pseudorandom sequence generated by the Wichmann and Hill method is studied. It is known that for many congruential generators critical values of the distance s exist such that these points, far from being uniformly distributed, are concentrated on very few lines. An algorithm is described for computing the critical distances within the Wichmann-Hill sequence and the results obtained are compared with those of other linear congruential generators.
Keywords:Pseudorandom numbers  compound congruential method  Wichmann-Hill generator  long-range correlations  critical distances
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