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Re: [Help-gsl] Re: sampling mixture distribution

From: Martin Jansche
Subject: Re: [Help-gsl] Re: sampling mixture distribution
Date: Thu, 2 Oct 2008 17:43:34 -0400

In general, you sample the mixture component indicator z from the
mixing distribution and then sample from the z-th component of the

For discrete mixtures, that's 2 calls to GSL: Sample z from
gsl_ran_discrete(...) (or even simpler for two-component mixtures),
then sample from the z-th component distribution, e.g. x = mu[z] +
gsl_ran_gaussian(rng, sigma[z]).

-- mj

On Thu, Oct 2, 2008 at 09:52, Rodney Sparapani <address@hidden> wrote:
> Jun Yang wrote:
>> Hi,
>> How to use GSL to sample from mixture distribution such as a Gaussian
>> mixture? Thanks.
>> Best Regards,
>> Jun Yang
> I don't think there is a GSL routine for this.  But, that's probably just as
> well.  Normally, the way you do this is you have 3 PRNG streams:  a
> Bernoulli and 2 different Gaussians.  If the Bernoulli is zero, then you
> sample from one Gaussian, otherwise, the other.
> Rodney
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