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Thread: Generating random sample for mixture of normal distributions

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    Generating random sample for mixture of normal distributions




    Hi,

    I came across this question -
    Clearly write down in detail the steps you will use to generate a random
    sample of n = 200 observations from a mixture of three normal distributions,
    viz., N(m1, sd1), N(m2, sd2) and N(m3, sd3), mixed in the respective proportions p1, p2, and p3.
    Comment on the normal probability plot for this data.
    Can someone help me with the approach to solve this problem?

    Thanks!
    Ankush

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    You do what you usually do to generate a normal deviate plus a preliminary step to choose the specification, i.e the parameters

    step 0 : choose (with probability vector p) the distribution N(*,*)
    step 1 : generate a number from N(*,*)
    step 2 : repeat steps 1&2 199 times.

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