[R] How to generate normal mixture random variables with given covariance function

From: Chee Chen <chee.chen_at_yahoo.com>
Date: Fri, 22 Apr 2011 09:59:21 -0400

Dear All,
Suppose Z_i, i=1,...,m are marginally identically distributed as a two normal mixture p0*N(0,1) + (1-p0) *N( miu_i, 1) where miu_i are identically distributed according to a mixture and I have generated Z_i one by one .

Now suppose these m random variables are jointly m-dimensional normal with correlation matrix M= (m_ij). How to proceed next or how to start correctly ?

1. Are Z_i, i=1,...,m I have generated jointly normal? 2. How to get them such that they are jointly normal with M

Thank you,

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