In general, you sample the mixture component indicator z from the
mixing distribution and then sample from the z-th component of the
mixture.
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 <rsparapa@.......> 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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