A Short Note on Generating a Random Sample from Finite Mixture Distributions

Abstract

Computational statistics is a critical skill for professionals in fields such as data science, statistics, and related disciplines. One essential aspect of computational statistics is the ability to simulate random variables from specified probability distributions. Commonly employed techniques for sampling random variables include the inverse transform method, acceptance–rejection method, and Box–Muller transformation, all of which rely on sampling from the uniform (0,1) distribution. A significant concept in statistics is the finite mixture model, characterized by a convex combination of multiple probability density functions. In this paper, we introduce a modified version of the composition method, a standard approach for sampling finite mixture models. Our modification offers the advantage of relying on sampling from the uniform (0,1) distribution, aligning with prevalent methods in computational statistics. This alignment simplifies teaching computational statistics courses, as well as having other benefits. We offer several examples to illustrate the approach.