EM Algorithm: i.i.d. Mixture Distribution

Versione 1.2.0.0 (16,4 KB) da Marco B.
Maximum likelihood estimation of parameters from 2-state i.i.d. Normal mixture
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Aggiornato 26 mag 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.

Cita come

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. Recuperato .

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Creato con R2009a
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Versione Pubblicato Note della release
1.2.0.0

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