Generating pseudo-random variables from mixture models by exemplary sampling

Generating samples from a two-stage distribution is an important part of the study of mixture models. These samples are used to examine estimation procedures, and other properties of the mixture model. In this paper we present an exemplary sampling method for generating data from the mixed distribution. This method uses the order statistic spacings of the mixing distribution and random sampling from the distribution conditional on the mixing variable to produce samples from the mixed distribution. We show that this exemplary procedure often produces data with an empirical distribution function closer to the mixed distribution than the Method of Composition. We illustrate the method with an example.