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Stream correlations in multiple recursive and congruential generators

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  • R Davies
  • R J Brooks

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.

Suggested Citation

  • R Davies & R J Brooks, 2007. "Stream correlations in multiple recursive and congruential generators," Journal of Simulation, Taylor & Francis Journals, vol. 1(2), pages 131-135, May.
    • Handle: RePEc:taf:tjsmxx:v:1:y:2007:i:2:p:131-135
    DOI: 10.1057/palgrave.jos.4250013
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    Cited by:

    1. Natasha Stout & Sue Goldie, 2008. "Keeping the noise down: common random numbers for disease simulation modeling," Health Care Management Science, Springer, vol. 11(4), pages 399-406, December.

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