Archive for The Art of Computer Programming

biased sample!

Posted in Statistics with tags , , , , , , , , , , , on May 21, 2019 by xi'an

A chance occurrence led me to this thread on R-devel about R sample function generating a bias by taking the integer part of the continuous uniform generator… And then to the note by Kellie Ottoboni and Philip Stark analysing the reason, namely the fact that R uniform [0,1) pseudo-random generator is not perfectly continuously uniform but discrete, by the nature of numbers on a computer. Knuth (1997) showed that in this case the range of probabilities is larger than (1,1), the largest range being (1,1.03). As noted in the note, exploiting directly the pseudo-random bits of the pseudo-random generator. Shocking, isn’t it!  A fast and bias-free alternative suggested by Lemire is available as dqsample::sample

As an update of June 2019, sample is now fixed.