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st: Generating a sample from a two-Gaussian mixture


From   Ali Hashemi <hashemi@vt.edu>
To   Stata listserv <statalist@hsphsun2.harvard.edu>
Subject   st: Generating a sample from a two-Gaussian mixture
Date   Fri, 1 Mar 2013 14:36:53 -0500

Dear Statalist,

I'm trying to generate a sample from the following mixture of two
normal distributions:

0.4*N ([3,-1];sigma=061) + 0.6*N ([-1,1];sigma=062)
where
sigma1=3D[0.2  -0.1 ; -0.1  0.4]
sigma2=3D[0.3   0.1 ;  0.1  0.3]


Here is my code:
drawnorm x1 y1, n(1000) means(3,-1) sds(.2,.4) corr(1, -.1 \ -.1, 1)
drawnorm x2 y2, n(1000) means(-1,1) sds(.3,.3) corr(1, .1 \ .1, 1)
g p=3Duniform()<.4
g x=3Dp*x1+(1-p)*x2
g y=3Dp*y1+(1-p)*y2

I'm not sure whether this is the right way to do it. Is there a better
method for generating this sample? I would appreciate your help.

Thanks
Ali Hashemi
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