mercredi 6 mai 2015

Matlab, how to generate true random number/series?

As we know, the random numbers generated by Matlab are pseudorandom. Is there any way or good algorithms to generate random numbers which furtheset approach true randomness? Or any other software?

I am thinking about this because i meet the following problem when generate random walk series by matlab. As we know, for a random walk series, the mean is zero and variance is i, when i is large, where i is the data index. However, when I did Monto Carlo simulation, repeatedly generating 100 series and calculating their variance, i find the following result, where the simulated variance departs away from theoretical one. Also, different Monto Carlo realizations lead to different shapes of the variance curve.

Anyone can help me on this?Sry cannot post image currently. Thanks a lot.

Chao




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