Microsoft Excel's 'Not The Wichmann-Hill' random number generators

Authors:
B. D. McCullough
Affiliations:
LeBow College of Business, Department of Decision Sciences, Drexel University, 19104 Philadelphia, PA, United States
Venue:
Computational Statistics & Data Analysis
Year:
2008

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Abstract

Microsoft attempted to implement the Wichmann-Hill RNG in Excel 2003 and failed; it did not just produce numbers between zero and unity, it would also produce negative numbers. Microsoft issued a patch that allegedly fixed the problem so that the patched Excel 2003 and Excel 2007 now implement the Wichmann-Hill RNG, as least according to Microsoft. We show that whatever RNG it is that Microsoft has implemented in these versions of Excel, it is not the Wichmann-Hill RNG. Microsoft has now failed twice to implement the dozen lines of code that define the Wichmann-Hill RNG.