sample_mixture: sample_mixture

In HMMmlselect: Determine the Number of States in Hidden Markov Models via Marginal Likelihood

Description

Auxiliary function that simulates mixture normal/t-distribution. Used when approximating marginal likelihood.

Usage

sample_mixture(N, list_paras, df_t)

Arguments

N	The number of sample to be drawn.
list_paras	Parameter as a dataset, including $p for probability weight, $Mu for the mean of each mixture component, and $Sigma for the standard deviation of each mixture component.
df_t	Degree of freedom of the t-distribution. If df_t==0, then it is treated as a normal distribution.

Details

See Manual.pdf in "inst/extdata" folder.

Value

It returns the sample of the simulated mixture normal/student-t distribution.

References

Yang Chen, Cheng-Der Fuh, Chu-Lan Kao, and Samuel Kou (2019+) "Determine the number of states in hidden markov models via marginal likelihood." Submitted.

HMMmlselect documentation built on May 3, 2020, 9:05 a.m.