EM Algorithm: i.i.d. Mixture Distribution

Versión 1.2.0.0 (16,4 KB) por Marco B.
Maximum likelihood estimation of parameters from 2-state i.i.d. Normal mixture
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Actualizado 26 may 2010

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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.

Citar como

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. Recuperado .

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Se creó con R2009a
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Versión Publicado Notas de la versión
1.2.0.0

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