R devel - Oct 2018 - Bug : Autocorrelation in sample drawn from stats::rnorm (hmh)

On 05/10/2018 10:28, Annaert Jan wrote:
> you discard any time series structure;
But that is PRECISELY what a call a bug:
There should not be any "time series structure" in the output or
rnorm,
runif and so on but there is one.

rnorm(N,0,1)
should give on average the same output as
sample(rnorm(N,0,1))

Which is not the case. rnorm(N,0,1) should draw INDEPENDENT samples i.e. 
without time series structure !


-- 
- no title specified

Hugo Math?-Hubert

ATER

Laboratoire Interdisciplinaire des Environnements Continentaux (LIEC)

UMR 7360 CNRS - ?B?t IBISE

Universit? de Lorraine ?- ?UFR SciFA

8, Rue du G?n?ral Delestraint

F-57070 METZ

+33(0)9 77 21 66 66
- - - - - - - - - - - - - - - - - -
Les r?flexions naissent dans les doutes et meurent dans les certitudes. 
Les doutes sont donc un signe de force et les certitudes un signe de 
faiblesse. La plupart des gens sont pourtant certains du contraire.
- - - - - - - - - - - - - - - - - -
Thoughts appear from doubts and die in convictions. Therefore, doubts 
are an indication of strength and convictions an indication of weakness. 
Yet, most people believe the opposite.


	[[alternative HTML version deleted]]

On Fri, Oct 5, 2018 at 2:07 PM hmh <hugomh at gmx.fr>
wrote:
>
> On 05/10/2018 10:28, Annaert Jan wrote:
> > you discard any time series structure;
> But that is PRECISELY what a call a bug:
> There should not be any "time series structure" in the output or
rnorm,
> runif and so on but there is one.
>
> rnorm(N,0,1)
> should give on average the same output as
> sample(rnorm(N,0,1))
Agreed, but that is not what your code is testing. You seem to think
that something much more specific should be true; namely,

X[1:10] ~ iid normal, then

cor(X[1:9], X[2:10])

and

cor(sample(X[-1]), sample(X[-10]))

should have the same distribution. This is not at all obvious, and in
fact not true.

Please check the reference you have been pointed to. Here is a related
article in the same volume:

https://www.jstor.org/stable/2332719

-Deepayan

> Which is not the case. rnorm(N,0,1) should draw INDEPENDENT samples i.e.
> without time series structure !
>
>
> --
> - no title specified
>
> Hugo Math?-Hubert
>
> ATER
>
> Laboratoire Interdisciplinaire des Environnements Continentaux (LIEC)
>
> UMR 7360 CNRS -  B?t IBISE
>
> Universit? de Lorraine  -  UFR SciFA
>
> 8, Rue du G?n?ral Delestraint
>
> F-57070 METZ
>
> +33(0)9 77 21 66 66
> - - - - - - - - - - - - - - - - - -
> Les r?flexions naissent dans les doutes et meurent dans les certitudes.
> Les doutes sont donc un signe de force et les certitudes un signe de
> faiblesse. La plupart des gens sont pourtant certains du contraire.
> - - - - - - - - - - - - - - - - - -
> Thoughts appear from doubts and die in convictions. Therefore, doubts
> are an indication of strength and convictions an indication of weakness.
> Yet, most people believe the opposite.
>
>
>         [[alternative HTML version deleted]]
>
> ______________________________________________
> R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see
> 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.

I got it !


thanks and sorry for annoying you with that.


have a nice day,

hugo


On 05/10/2018 11:16, Deepayan Sarkar wrote:
> On Fri, Oct 5, 2018 at 2:07 PM hmh <hugomh at gmx.fr> wrote:
>> On 05/10/2018 10:28, Annaert Jan wrote:
>>> you discard any time series structure;
>> But that is PRECISELY what a call a bug:
>> There should not be any "time series structure" in the output
or rnorm,
>> runif and so on but there is one.
>>
>> rnorm(N,0,1)
>> should give on average the same output as
>> sample(rnorm(N,0,1))
> Agreed, but that is not what your code is testing. You seem to think
> that something much more specific should be true; namely,
>
> X[1:10] ~ iid normal, then
>
> cor(X[1:9], X[2:10])
>
> and
>
> cor(sample(X[-1]), sample(X[-10]))
>
> should have the same distribution. This is not at all obvious, and in
> fact not true.
>
> Please check the reference you have been pointed to. Here is a related
> article in the same volume:
>
> https://www.jstor.org/stable/2332719
>
> -Deepayan
>
>
>> Which is not the case. rnorm(N,0,1) should draw INDEPENDENT samples
i.e.
>> without time series structure !
>>
>>
>> --
>> - no title specified
>>
>> Hugo Math?-Hubert
>>
>> ATER
>>
>> Laboratoire Interdisciplinaire des Environnements Continentaux (LIEC)
>>
>> UMR 7360 CNRS -  B?t IBISE
>>
>> Universit? de Lorraine  -  UFR SciFA
>>
>> 8, Rue du G?n?ral Delestraint
>>
>> F-57070 METZ
>>
>> +33(0)9 77 21 66 66
>> - - - - - - - - - - - - - - - - - -
>> Les r?flexions naissent dans les doutes et meurent dans les certitudes.
>> Les doutes sont donc un signe de force et les certitudes un signe de
>> faiblesse. La plupart des gens sont pourtant certains du contraire.
>> - - - - - - - - - - - - - - - - - -
>> Thoughts appear from doubts and die in convictions. Therefore, doubts
>> are an indication of strength and convictions an indication of
weakness.
>> Yet, most people believe the opposite.
>>
>>
>>          [[alternative HTML version deleted]]
>>
>> ______________________________________________
>> R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see
>> 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.
-- 
- no title specified

Hugo Math?-Hubert

ATER

Laboratoire Interdisciplinaire des Environnements Continentaux (LIEC)

UMR 7360 CNRS - ?B?t IBISE

Universit? de Lorraine ?- ?UFR SciFA

8, Rue du G?n?ral Delestraint

F-57070 METZ

+33(0)9 77 21 66 66
- - - - - - - - - - - - - - - - - -
Les r?flexions naissent dans les doutes et meurent dans les certitudes. 
Les doutes sont donc un signe de force et les certitudes un signe de 
faiblesse. La plupart des gens sont pourtant certains du contraire.
- - - - - - - - - - - - - - - - - -
Thoughts appear from doubts and die in convictions. Therefore, doubts 
are an indication of strength and convictions an indication of weakness. 
Yet, most people believe the opposite.


	[[alternative HTML version deleted]]