If I want to generate multivariate Gaussian scale mixture samples with given location and covariance (characteristic matrix) of sample how will I generate that with any mixture distribution?

For example if I want to generate samples of Gaussian scale mixture with mean 0 and Covariance R let the mixture distribution be exponential or Laplace. How to generate that?

  • $\begingroup$ You'd also need to specify the mixing distribution on the scale parameter. $\endgroup$ – Glen_b -Reinstate Monica Sep 28 '15 at 12:40
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    $\begingroup$ Please clarify your question, carefully defining what you mean by each of the terms you are using. If this is for some class, add the self-study tag and modify your question to follow the guidelines there. $\endgroup$ – Glen_b -Reinstate Monica Sep 29 '15 at 6:46
  • $\begingroup$ I hope now I am clear with question. It is not for some class or book. I need to do some simulations for that I need to include Gaussian scale samples as my noise. For that I want to generate the samples. $\endgroup$ – undefined Sep 29 '15 at 7:42
  • $\begingroup$ How does this problem arise? $\endgroup$ – Glen_b -Reinstate Monica Sep 29 '15 at 8:13
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    $\begingroup$ I find much of your previous comment unintelligible. $\endgroup$ – Glen_b -Reinstate Monica Sep 29 '15 at 10:23

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