topic Re: Simulation of normal distribution in SAS Programming

Simulation of normal distribution

Yuliya — Tue, 01 Dec 2015 17:29:02 GMT

Hi,

I am doing simulation of normal distribution with RAND and use the same SEED but every time I get different data.

What could be wrong?

Here is the code:

data normal;

seed =1976;

do stickprov = 1 to 100;

do obs = 1 to 50;

x = rand ('normal',2.2,1);

y = rand ('normal', 2.2,1);

output;

end;

drop seed;

run;

I look forward to replies.

Thank you in advance.

Regards,

Yuliya

Re: Simulation of normal distribution

JoshB — Tue, 01 Dec 2015 17:35:33 GMT

From RAND function documentation here

Generating Random Numbers

The RAND function generates random numbers from various continuous and discrete distributions. Wherever possible, the simplest form of the distribution is used.

The RAND function uses the Mersenne-Twister random number generator (RNG) that was developed by Matsumoto and Nishimura (1998). The random number generator has a very long period (219937 – 1) and very good statistical properties. The period is a Mersenne prime, which contributes to the naming of the RNG. The algorithm is a twisted generalized feedback shift register (TGFSR) that explains the latter part of the name. The TGFSR gives the RNG a very high order of equidistribution (623-dimensional with 32-bit accuracy), which means that there is a very small correlation between successive vectors of 623 pseudo-random numbers.

The RAND function is started with a single seed. However, the state of the process cannot be captured by a single seed. You cannot stop and restart the generator from its stopping point.
Reproducing a Random Number Stream

If you want to create reproducible streams of random numbers, then use the CALL STREAMINIT routine to specify a seed value for random number generation. Use the CALL STREAMINIT routine once per DATA step before any invocation of the RAND function. If you omit the call to the CALL STREAMINIT routine (or if you specify a non-positive seed value in the CALL STREAMINIT routine), then RAND uses a call to the system clock to seed itself. For more information, see CALL STREAMINIT Creating a Reproducible Stream of Random Numbers.

Re: Simulation of normal distribution

Reeza — Tue, 01 Dec 2015 18:13:37 GMT

You create a variable called SEED, but don't actually use it for anything 😉 You need to use CALL STREAMINIT() to apply the seed.

data normal;
seed =1976;
call streaminit(seed);
do stickprov = 1 to 100;
do obs = 1 to 50;
x = rand ('normal',2.2,1);
y = rand ('normal', 2.2,1);
output;
end;
end;
drop seed;
run;

Re: Simulation of normal distribution

Yuliya — Wed, 02 Dec 2015 09:28:46 GMT

Thank you very much. I am a novice in SAS :))

Re: Simulation of normal distribution

Rick_SAS — Wed, 02 Dec 2015 16:20:36 GMT

If you plan on doing much simulation, you might consider reading some of the Simulation articles on The DO Loop blog. Start with this one about Simulation in SAS.