rmixnorm.ts | R Documentation |
Simulating AR type random variables from mixture of normals
rmixnorm.ts(n, means.ar.par.list, sigmas.list, weights, yinit = 0)
n |
a positive integer. Number of samples. |
means.ar.par.list |
parameters in AR(p) within each mixing component |
sigmas.list |
variance list |
weights |
weight in each list |
yinit |
initial values |
This function simulates random samples from a finite mixture of Gaussian distribution where the mean from each components are AR(p) process.
vector of n follows a mixture distribution
Feng Li, Central University of Finance and Economics.
Li 2010 JSPI
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