Statistics.EM.TwoGaussian

This is a simplified version of the Expectation-Maximization algorithm for a two-component Gaussian mixture model. Cf. Hastie et al, The Elements of Statistical Learning, Springer. Chapter 8.5.1.

Documentation

emFix :: Vector Double -> (Weight, Normal, Normal) -> (Weight, Normal, Normal)

Finds the fix-points of the EM step iterations.

emStarts :: Vector Double -> (Weight, Normal, Normal)

Finds the best fix-point with all elements xs as starting points for the means. It holds that mu_1 < mu_2.