Re: [Boost-users] Boost.Random question

Subject: Re: [Boost-users] Boost.Random question
From: gast128 (gast128_at_[hidden])
Date: 2010-03-09 05:48:14

Steven Watanabe <watanabesj <at> gmail.com> writes:

> 
> AMDG
> 
> gast128 wrote:
> > a colleague of my asked me to drop a question on the forum about the 
following 
> > case:
> >
> > He produces 1000 samples with the following code:
> >
> > boost::normal_distribution<double> n1(1, sqrt(4.0));
> > boost::variate_generator< boost::minstd_rand, 
> > boost::normal_distribution<double> > g1(boost::minstd_rand(), n1);
> >
> > He also calulates the covariance. It should be something like (4  0) but 
he 
> > got (4.1 8.3). This 4 is correct, but the 8.3 not. Anyone an idea?
> >
> >
> > Note (again): post from a colleague; i didn't try it myself.
> >   
> 
> I thought that covariance was a two variable statistic.
> What exactly is being tested?
> 
> In Christ,
> Steven Watanabe

Yes u are right, the matrices should be [4 0; 0 16], while the measured values 
were [ 4.1 8.3; 8.3 16.6 ]. However my colleaque also found out that applying 
a seed first to the engine solved the problem.

unsigned int first_seed = static_cast<unsigned int>(time(0));
boost::variate_generator< boost::minstd_rand, boost::uniform_int<> > 
generatorSeed(boost::minstd_rand(), boost::uniform_int<>(0, UINT_MAX/2));

generatorSeed.engine().seed(first_seed);
g1.engine().seed(static_cast<unsigned int>(generatorSeed())); 
g2.engine().seed(static_cast<unsigned int>(generatorSeed()));