Create a mixture of gaussians in excel method

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Reference no: EM131086892

Create a Mixture of Gaussians in Excel Method One: Random Variable Approach

The model will have three inputs σ1, σ2 , and q (assume means of zero): Use the inverse transform method to create two series of normal variables with standard deviations of σ1 and σ2 , each involving a series of calls to RAND(). Then, use a third series of calls to RAND () to determine which of the two normal variables just created make up the mixture,

  • Generate at least 65,000 numbers.
  • Calculate the mean, standard deviation, and excess kurtosis for all three distributions.
  • Check the resultant mixture versus the theoretical formulas for convergence.

This approach directly models the mixed Gaussian density function rather than the random numbers themselves.

  • The model will have three inputs (assume means of zero): σ1, σ2, and q.
  • Choose the discretized x-space carefully.
  • Graph all three distributions.
  • Use the density approach formulas for the moments (3.64)-(3.66) and check them against the theoretical values. If the match is poor, it could be due to a poor choice of the discretized x-space.

Reference no: EM131086892

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