How to generate normal mixture random variables with given covariance function
On Fri, 2011-04-22 at 09:59 -0400, Chee Chen wrote:
Dear All, Suppose Z_i, i=1,...,m are marginally identically distributed as a two normal mixture p0*N(0,1) + (1-p0) *N( miu_i, 1) where miu_i are identically distributed according to a mixture and I have generated Z_i one by one . Now suppose these m random variables are jointly m-dimensional normal
This is not related to R, so you should probably ask the question somewhere else. The short answer is that the Z_i cannot be jointly Normally distributed, since they are not marginally Normally distributed. Giovanni Petris
with correlation matrix M= (m_ij). How to proceed next or how to start correctly ? Question: 1. Are Z_i, i=1,...,m I have generated jointly normal? 2. How to get them such that they are jointly normal with M Thank you, -Chee [[alternative HTML version deleted]]
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Giovanni Petris <GPetris at uark.edu> Associate Professor Department of Mathematical Sciences University of Arkansas - Fayetteville, AR 72701 Ph: (479) 575-6324, 575-8630 (fax) http://definetti.uark.edu/~gpetris/