Dear all, Is there a test in R for the randomness of a sequence of observations (e.g. to test the random number generator)? Specifically I am looking for autocorrelations which are not necessarily linear in nature, which the acf function does not seem to be flexible enough to detect as it tests for linear autocorrelation. Thanks in advance, Paul.
Autocorrelations are by definition linear. Do you mean non-linear dependencies in a bivariate scatterplot? There are many such tests, but R is not the plase to find them. Pierre l''Ecuyer has a test suite, and George Marsaglia''s DIEHARD can still be found. On Fri, 28 Mar 2003 pfm401 at lineone.net wrote:> Dear all, > > Is there a test in R for the randomness of a sequence of observations (e.g. > to test the random number generator)? Specifically I am looking for autocorrelations > which are not necessarily linear in nature, which the acf function does > not seem to be flexible enough to detect as it tests for linear autocorrelation. > > Thanks in advance, > Paul.-- Brian D. Ripley, ripley at stats.ox.ac.uk Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595
Hi there,
Does anyone know whether R has an inbuilt function to test if a series of
numbers is completely random??
thanks in advance,
Wayne
Dr Wayne R. Jones
Statistician / Research Analyst
KSS Group plc
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> Subject: [R] Testing for randomness > Date: Thu, 17 Apr 2003 09:30:18 +0100 > From: Wayne Jones <JonesW at kssg.com> > To: "'r-help at stat.math.ethz.ch'" <r-help at stat.math.ethz.ch> > > Hi there, > > Does anyone know whether R has an inbuilt function to test if a series of > numbers is completely random??Maybe runs.test, bds.test, Box.test?? (package tseries and ts)> thanks in advance, > > Wayne > > Dr Wayne R. Jones > Statistician / Research Analyst > KSS Group plc > St James's Buildings > 79 Oxford Street > Manchester M1 6SS > Tel: +44(0)161 609 4084 > Mob: +44(0)7810 523 713 > > KSS Ltd > A division of Knowledge Support Systems Group plc > Seventh Floor St James's Buildings 79 Oxford Street Manchester M1 6SS England > Company Registration Number 2800886 (Limited) 3449594 (plc) > Tel: +44 (0) 161 228 0040 Fax: +44 (0) 161 236 6305 > mailto:kssg at kssg.com http://www.kssg.com > > The information in this Internet email is confidential and may b... {{dropped}} >Best Adrian -- Dr. Adrian Trapletti Phone : +41 (0) 1 994 5631 Trapletti Statistical Computing Mobile: +41 (0)76 370 5631 Wildsbergstrasse 31 Fax : +41 (0) 1 994 5631 CH-8610 Uster Email : mailto:a.trapletti at bluewin.ch Switzerland WWW : http://trapletti.homelinux.com
It's hard to tell what you're looking for. There are some white noise tests in time series, some of which, I imagine, are implemented in some of the time series packages for R. There are tests for quality of pseudo-random number generators, probably the best known being Marsaglia's DIEHARD battery of tests. You can find them by googling. They are not in R, though, AFAIK. Andy> -----Original Message----- > From: Wayne Jones [mailto:JonesW at kssg.com] > Sent: Thursday, April 17, 2003 4:30 AM > To: 'r-help at stat.math.ethz.ch' > Subject: [R] Testing for randomness > > > Hi there, > > Does anyone know whether R has an inbuilt function to test if > a series of > numbers is completely random?? > > thanks in advance, > > Wayne > > > Dr Wayne R. Jones > Statistician / Research Analyst > KSS Group plc > St James's Buildings > 79 Oxford Street > Manchester M1 6SS > Tel: +44(0)161 609 4084 > Mob: +44(0)7810 523 713 > > > > KSS Ltd > A division of Knowledge Support Systems Group plc > Seventh Floor St James's Buildings 79 Oxford Street > Manchester M1 6SS England > Company Registration Number 2800886 (Limited) 3449594 (plc) > Tel: +44 (0) 161 228 0040 Fax: +44 (0) 161 236 6305 > mailto:kssg at kssg.com http://www.kssg.com > > > The information in this Internet email is confidential and > may b... {{dropped}} > > ______________________________________________ > R-help at stat.math.ethz.ch mailing list > https://www.stat.math.ethz.ch/mailman/listinfo/r-help >