Re: 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
> with correlation matrix M= (m_ij).
> How to proceed next or how to start correctly ?
> 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,
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