Generating random numbers is probably impossible. The substitute is generating
pseudorandom (see a video
here) numbers according to some deterministic rule well explained, for instance, in Knuth, (1997). But the doubt that pseudorandom numbers is not enough usually sticks with you. So where having real random number, if they exist ?
You can try
hardware generated random numbers. One particular set of these random numbers generators come from
Dirk EddelBuettel who actually uses
Mads Haar work for bringing true random numbers to R. Dirk points also to a nice introduction to random number generator, Maads Haar (1999), and an R package called
random.
References
Dirk Eddelbuettel,
random: An R package for true random numbers, 2006
Mads Haar,
Introduction to random numbers (see also
here), 1999
Knuth D.E. The Art of Computer Programming,
Volume 2: Seminumerical Algorithms, Third Edition. Addison-Wesley, 1997.
ISBN 0-201-89684-2. Chapter 3. [Extensive coverage of statistical tests for non-randomness.]
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