Assessing the Quality of Pseudo-Random Number Generators

Authors:
P. C. Luizi;F. R. Cruz;J. Graaf
Affiliations:
Departamento de Estatística, Universidade Federal de Minas Gerais, Belo Horizonte-MG, Brazil 31270-901;Departamento de Estatística, Universidade Federal de Minas Gerais, Belo Horizonte-MG, Brazil 31270-901;Departamento de Computação, Universidade Federal de Ouro Preto, Ouro Preto-MG, Brazil 35400-000
Venue:
Computational Economics
Year:
2010

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Abstract

In this article, we describe a new yet simple statistical procedure to better assess the quality of pseudo-random number generators. The new procedure builds on the statistical test suite proposed by the National Institute of Standards and Technology (NIST) and is especially useful for applications in economics. Making use of properties of the binomial distribution, we estimate the conjoint significance level of the test. We apply the proposed procedure to several well-known pseudo-random number generators, and the results confirm its effectiveness.