Perils of Simulation : Parallel Streams and the Case of Stata’s Rnormal Command

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dc.creatorOwen Ozier
dc.date2013-12-09T20:01:31Z
dc.date2013-12-09T20:01:31Z
dc.date2012-11
dc.date.accessioned2026-07-01T00:57:59Z
dc.descriptionLarge-scale simulation-based studies rely on at least three properties of pseudorandom number sequences. Since they behave like random numbers, they can be replicated and generated in parallel. However, there has been some divergence between empirical techniques employing random numbers and the standard battery of tests used to validate them. A random number generator that passes tests for any single stream of random numbers may fail the same tests when it is used to generate multiple streams in parallel. The lack of systematic testing of parallel streams leaves statistical software with important potential vulnerabilities. This paper reveals one such vulnerability in Stata's rnormal function which went unnoticed for almost four years and how this error was detected. Furthermore, the paper discusses practical implications for the use of parallel streams in existing software.
dc.formatapplication/pdf
dc.formattext/plain
dc.identifierhttps://hdl.handle.net/10986/16374
dc.identifierhttps://doi.org/10.1596/1813-9450-6278
dc.identifier.urihttp://hdl.handle.net/123456789/413610
dc.languageen_US
dc.publisherWorld Bank, Washington, D.C.
dc.relationPolicy Research Working Paper;No.6278
dc.rightsCC BY 3.0 IGO
dc.rightshttp://creativecommons.org/licenses/by/3.0/igo
dc.rightsWorld Bank
dc.subjectApplied Mathematics
dc.subjectbootstrap
dc.subjectbug
dc.subjectCommand
dc.subjectconfidence intervals
dc.subjectcores
dc.subjectData Analysis
dc.subjectDevelopment Research
dc.subjectEconometrics
dc.subjectempirical methods
dc.subjectEstimators
dc.subjectinteger
dc.subjectKurtosis
dc.subjectMonte Carlo methods
dc.subjectprobability
dc.subjectproduce
dc.subjectPublic Services
dc.subjectrandom numbers
dc.subjectreliability
dc.subjectResearch Working Papers
dc.subjectresearchers
dc.subjectsciences
dc.subjectseed
dc.subjectSeeds
dc.subjectSimulation
dc.subjectSimulations
dc.subjectSkewness
dc.subjectStata
dc.subjectstatistical tests
dc.subjecttechniques
dc.subjectyields
dc.titlePerils of Simulation : Parallel Streams and the Case of Stata’s Rnormal Command

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