Test case 1: approximation of a mixture of three bivariate normal distributions (taken from Gilks, Roberts, and Sahu, 1998, JASA)
Test case 2: approximation of skew-normal density (Azzalini and Dalla Valle, 1996, Biometrika)
Test case 3: basic stochastic volatility model
Nonparametric kernel: mixture approximation to plug-in nonparametric kernel estimate in Duong (2007), Journal of Statistical Software.
Last updated by: Natalia Khorunzhina 18/09/2016