EM Algorithm: i.i.d. Mixture Distribution

버전 1.2.0.0 (16.4 KB) 작성자: Marco B.
Maximum likelihood estimation of parameters from 2-state i.i.d. Normal mixture
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업데이트 날짜: 2010/5/26

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This function infers the unobserved regimes and provides estimates for the parameters of a Gaussian mixture with two states using the EM algorithm.

Exact references to the relevant equations from Hamilton (1994), Chapter 22 can be found in the procedure.

Any Tx1 data vector can be fed into the function.

인용 양식

Marco B. (2024). EM Algorithm: i.i.d. Mixture Distribution (https://www.mathworks.com/matlabcentral/fileexchange/27682-em-algorithm-i-i-d-mixture-distribution), MATLAB Central File Exchange. 검색됨 .

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버전 게시됨 릴리스 정보
1.2.0.0

plot augmented by fit based on ML estimates for mixture distribution

1.0.0.0