Displaying 1 result from an estimated 1 matches for "32xzq".
Did you mean:
32x32
2013 Mar 31
0
Skewness of fitted mixture not correct?
I fitted a gaussian mixture to my financial data. The data can be found
here: http://uploadeasy.net/upload/32xzq.rar
I look at the density with
plot(density(dat),col="red",lwd=2)
this has a skew of
library(e1071)
skewness(dat)
-0.1284311
Now, I fit a gaussian mixture according to:
f(l)=πϕ(l;μ1,σ21)+(1−π)ϕ(l;μ2,σ22)
with:
datnormalmixturegaussian<-normalmixEM(dat,lambda=c(0.3828,(1-0.382...