Re: [R] fitting mixture of normals distribution to asset return data

Dear John, I don't know what the "exp" stuff in your line below is about, but mclustBIC in package mclust does fit normal mixtures. Try for a start library(mclust) mmm <- mclustBIC(data,G=2) mmms <- summary(mmm) mmms If you want to learn more, read the documentation. Christian On Wed, 25 Nov

[R] fitting mixture of normals distribution to asset return data

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<-ex