fitting mixture of normals distribution to asset return data
Dear John, I don't know what the "exp" stuff in your line below is about, but mclustBIC in package mclust does fit normal mixtures. Try for a start library(mclust) mmm <- mclustBIC(data,G=2) mmms <- summary(mmm) mmms If you want to learn more, read the documentation. Christian
On Wed, 25 Nov 2009, John Sepp?nen wrote:
Hi, I have a 15 years of monthly return data (180 observations) from instruments that have non-normal return distributions. Thus, I would like to fit a mixture of normal distribution to each of the series. So, that I would be able to simulate from the marginal distributions like this: asset.1<-exp(c(rnorm(500,-0.07,0.02),rnorm(9500,0.05,0.05)))-1 My problem is that I have tried to use Google and go through some packages (eg mixtools & mclust) but haven't been able to find a function to fit the mixture of normals. I would like to have two different states of world and then get the probabilities and the mean and sigma in those states (as in the example above). I am newbie in this subject so if someone could point me a R function for this, I'd really appreciate it... br, John [[alternative HTML version deleted]]
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*** --- *** Christian Hennig University College London, Department of Statistical Science Gower St., London WC1E 6BT, phone +44 207 679 1698 chrish at stats.ucl.ac.uk, www.homepages.ucl.ac.uk/~ucakche