Autocorrelation peaks in congruential pseudorandom number generators

Abstract

The complete correlation structure of several congruential pseudorandom number generators (PRNG) of the same type and small cycle length was studied to deal with the problem of congruential PRNG almost repeating themselves at intervals smaller than their cycle lengths, during simulation of bandpass filtered normal random noise. Maximum period multiplicative and mixed congruential generators were studied, with inferences drawn from examination of several tractable members of a class of random number generators, and moduli from 2 to the 5th power to 2 to the 9th power. High correlation is shown to exist in mixed and multiplicative congruential random number generators and prime moduli Lehmer generators for shifts a fraction of their cycle length. The random noise sequences in question are required when simulating electrical noise, air turbulence, or time variation of wind parameters.