A finite mixture approach to univariate data simulation with moment matching

作者：Bardsley Earl^*

来源：Environmental Modelling & Software, 2017, 90: 27-33.

DOI：10.1016/j.envsoft.2016.11.019

• Moment matching
• Finite mixture distribution
• Data simulation
• Beta distribution

Environmental data simulation is carried out for various purposes and is most simply achieved when recorded data can be regarded as a sequence of independent random variables. Simulating from such data involves generating random variables from some fitted probability distribution, preserving the main statistical characteristics. The particular case of data simulation with moment matching is revisited, with a proposal that data be simulated from many-component finite mixture distributions. The simulation procedure matches data moments while also giving greater flexibility for data approximation. In contrast, a single parametric distribution fitted to irregular data will result in data simulations more representative of the fitted distribution than the original data. The flexible finite mixture approach therefore has potential to replace parametric univariate data simulation generally. The method is illustrated with simulations from finite mixtures of generalised beta distributions with matching of data mean, variance, skewness and kurtosis.

• 出版日期2017-4