Generate stochastic random deviates from a density object with R

Answer 1

This is just a mixture of normals. So why not something like:

rmnorm <- function(n,mean, sd,prob) {
    nmix <- length(mean)
    if (length(sd)!=nmix) stop("lengths should be the same.")
    y <- sample(1:nmix,n,prob=prob, replace=TRUE)
    mean.mix <- mean[y]
    sd.mix <- sd[y]
    rnorm(n,mean.mix,sd.mix)
}
plot(density(rmnorm(10000,mean=c(0,3), sd=c(1,2), prob=c(.5,.5))))

This should be fine if all you need are samples from this mixture distribution.

Answer 2

Alternative approach:

sample(x, n, replace = TRUE)