[R] Covariance matrix for GMM

Feng Zhang f0z6305 at labs.tamu.edu
Tue Feb 11 07:12:06 CET 2003

Hey, All

Now I generate a data vector X (d-dimension column vector) from a Gaussian
Mixture Model (GMM).
That is, the pdf of vector X is
f(X) = a1*N(u1, Cov1) + a2*(u2, Cov2)
where a1+a2 = 1, N is multidimensional normal distribution, ui is the mean
vecotr, Covi is the covariance matrix, i=1, 2.

So can I get the close forms of the mean and covariance matrix for the
random vector X?

Thanks very much.


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