Hi,
I have a 15 years of monthly return data (180 observations) from instruments
that have non-normal return distributions. Thus, I would like to fit a
mixture of normal distribution to each of the series. So, that I would be
able to simulate from the marginal distributions like this:
asset.1<-exp(c(rnorm(500,-0.07,0.02),rnorm(9500,0.05,0.05)))-1
My problem is that I have tried to use Google and go through some packages
(eg mixtools & mclust) but haven't been able to find a function to fit the
mixture of normals. I would like to have two different states of world and
then get the probabilities and the mean and sigma in those states (as in the
example above).
I am newbie in this subject so if someone could point me a R function for
this, I'd really appreciate it...
br,
John
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