GaussianMixtureInv: Inverse distribution function of a mixture of Gaussian...

In GaussianHMM1d: Inference, Goodness-of-Fit and Forecast for Univariate Gaussian Hidden Markov Models

Inverse distribution function of a mixture of Gaussian univariate distributions

Description

This function computes the inverse distribution function of a mixture of Gaussian univariate distributions

Usage

GaussianMixtureInv(p, mu, sigma, w)

Arguments

p	Points in (0,1) at which the distribution function is computed (nx1);
mu	vector of means for each regime (r x 1);
sigma	vector of standard deviations for each regime (r x 1);
w	vector of the probability of each regime (r x 1).

Value

q	values of the quantile function

Author(s)

Bouchra R Nasri and Bruno N Rémillard, January 31, 2019

Examples

mu <- c(-0.3 ,0.7) ; sigma <- c(0.15,0.05); w <-c(0.8, 0.2);
p <- seq(0.01, 0.99, by = 0.01)
q <- GaussianMixtureInv(p,mu,sigma,w)
plot(p,q,type="l")

GaussianHMM1d documentation built on July 9, 2023, 6:52 p.m.