I am running some stochastic simulation experiments and in one step I want to estimate the correlation between random numbers when the underlying source of randomness is the same, i.e., common U(0,1) random numbers.
I thought the following two code segments should produce the same result.
set.seed(1)
a_1 = rgamma(100, 3, 4)
set.seed(1)
b_1 = rgamma(100, 4, 5)
cor(a_1,b_1)
set.seed(1)
u = runif(100)
a_2 = qgamma(u, 3, 4)
b_2 = qgamma(u, 4, 5)
cor(a_2,b_2)
But the results are different
> cor(a_1,b_1)
[1] 0.9908946
> cor(a_2,b_2)
[1] 0.9995341
Can anyone explain why the results are different? I suspect this has something to do with how random variables are generated in R with the "rxxx" functions, but I couldn't find the details...
Thanks in advance!
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