EM Algorithm: i.i.d. Mixture Distribution

版本 1.2.0.0 (16.4 KB) 作者: Marco B.
Maximum likelihood estimation of parameters from 2-state i.i.d. Normal mixture
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更新时间 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.

引用格式

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. 检索来源 .

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版本 已发布 发行说明
1.2.0.0

plot augmented by fit based on ML estimates for mixture distribution
1.0.0.0