rmixnorm {gratis}

Generate random variables from a mixture of multivariate normal distributions

Description

Random variables from a mixture of k multivariate normal distributions, each of dimension q.

Usage

rmixnorm(n, means, sigmas, weights)

Arguments

n

an integer for the number of samples to be generated.

means

a q x k matrix (or a vector of length k if q=1) containing the means for each component.

sigmas

a q x q x k covariance array (or a vector of length k if q=1) for each component.

weights

a vector of length k containing the weights for each component.

Value

An n x q matrix (or a vector if q=1) containing the generated data.

Author(s)

Feng Li, Central University of Finance and Economics.

References

Villani et al 2009.

Examples

out <- rmixnorm(
  n = 1000, means = c(-5, 0, 5), sigmas = c(1, 1, 3),
  weights = c(0.3, 0.4, 0.3)
)
hist(out, breaks = 100, freq = FALSE)