R help - May 2012 - alternative generator for normal distributed variables

Hello,

currently I'm working on a model based on Monte-Carlo-Simulations.

I observed that a generated normal distributed times series using
rnorm(100,mean=0,sd=1)
is far away from being not autocorrelated.

Is there any other gerenator implemented in R, which might solve my problem?

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Please give a reproducible example when making bold statements.

I find no evidence of autocorrelation in

set.seed(12345)
x <- rnorm(100, mean = 0, sd = 1)
acf(x)

x <- rnorm(1e6, mean = 0, sd = 1)
acf(x)


ir. Thierry Onkelinx
Instituut voor natuur- en bosonderzoek / Research Institute for Nature and
Forest
team Biometrie & Kwaliteitszorg / team Biometrics & Quality Assurance
Kliniekstraat 25
1070 Anderlecht
Belgium
+ 32 2 525 02 51
+ 32 54 43 61 85
Thierry.Onkelinx at inbo.be
www.inbo.be

To call in the statistician after the experiment is done may be no more than
asking him to perform a post-mortem examination: he may be able to say what the
experiment died of.
~ Sir Ronald Aylmer Fisher

The plural of anecdote is not data.
~ Roger Brinner

The combination of some data and an aching desire for an answer does not ensure
that a reasonable answer can be extracted from a given body of data.
~ John Tukey


-----Oorspronkelijk bericht-----
Van: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org]
Namens juliane0212
Verzonden: woensdag 30 mei 2012 13:40
Aan: r-help at r-project.org
Onderwerp: [R] alternative generator for normal distributed variables

Hello,

currently I'm working on a model based on Monte-Carlo-Simulations.

I observed that a generated normal distributed times series using
rnorm(100,mean=0,sd=1)
is far away from being not autocorrelated.

Is there any other gerenator implemented in R, which might solve my problem?

--
View this message in context:
http://r.789695.n4.nabble.com/alternative-generator-for-normal-distributed-variables-tp4631815.html
Sent from the R help mailing list archive at Nabble.com.

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Like Thierrey I entirely disagree with you, but there are many PRNGs
in R -- take a look at ?RNGkind to change them.

Michael

On Wed, May 30, 2012 at 7:39 AM, juliane0212 <stephanmi1 at web.de>
wrote:
> Hello,
>
> currently I'm working on a model based on Monte-Carlo-Simulations.
>
> I observed that a generated normal distributed times series using
> rnorm(100,mean=0,sd=1)
> is far away from being not autocorrelated.
>
> Is there any other gerenator implemented in R, which might solve my
problem?
>
> --
> View this message in context:
http://r.789695.n4.nabble.com/alternative-generator-for-normal-distributed-variables-tp4631815.html
> Sent from the R help mailing list archive at Nabble.com.
>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.

Hi there,

I am not an expert, but simple experimentation using the acf() function
shows that your statement is not true (see ?acf and ?replicate for more
information):

foo <- function(x) acf(x, plot = FALSE)$acf[,,1]
result <- replicate(10000, foo(rnorm(100)))
result <- t(apply(result, 1, quantile, probs = c(0.025, 0.975)))  # 95%CI
rownames(result) <- paste('lag_', 0:(NROW(result) - 1), sep=
"")
result

Could you please elaborate?

HTH,
Jorge.-


On Wed, May 30, 2012 at 7:39 AM, juliane0212 <> wrote:
> Hello,
>
> currently I'm working on a model based on Monte-Carlo-Simulations.
>
> I observed that a generated normal distributed times series using
> rnorm(100,mean=0,sd=1)
> is far away from being not autocorrelated.
>
> Is there any other gerenator implemented in R, which might solve my
> problem?
>
> --
> View this message in context:
>
http://r.789695.n4.nabble.com/alternative-generator-for-normal-distributed-variables-tp4631815.html
> Sent from the R help mailing list archive at Nabble.com.
>
> ______________________________________________
> R-help@r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>
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