EM Algorithm: i.i.d. Mixture Distribution
Version 1.2.0.0 (16.4 KB) by
Marco B.
Maximum likelihood estimation of parameters from 2-state i.i.d. Normal mixture
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.
Cite As
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. Retrieved .
MATLAB Release Compatibility
Created with
R2009a
Compatible with any release
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