Simulation algorithms for stationary sequences with distributions in the form of a mixture of Gaussian distributions

Abstract

In this paper, we present three algorithms for simulation of intervals of stationary vector and scalar sequences with partial distributions of their subsequences of fixed length in the form of a mixture of Gaussian distributions. The first algorithm is based on superposition of two Gaussian vector processes and the second and third ones use the method of conditional distributions and the method of superpositions to simulate the mixtures and to select realizations for approximate construction of conditional realizations. Some properties of these algorithms are presented.