EM Algorithm: i.i.d. Mixture Distribution
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.
Zitieren als
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. Abgerufen .
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- Signal Processing > Signal Processing Toolbox > Signal Generation and Preprocessing > Smoothing and Denoising >
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Version | Veröffentlicht | Versionshinweise | |
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1.2.0.0 | plot augmented by fit based on ML estimates for mixture distribution |
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1.0.0.0 |