[R] Covariance matrix for GMM

Feng Zhang f0z6305 at labs.tamu.edu
Tue Feb 11 17:57:03 CET 2003

There is no way to answer this question?

even for writing the sample covariance matrix
formulation for the data set [X, Y] where
X(n observations) and Y (m observations) are from
the class 1 and class 2 which both are
multidimensional normal distribution?

----- Original Message -----
From: "Feng Zhang" <f0z6305 at labs.tamu.edu>
To: "R-Help" <r-help at stat.math.ethz.ch>
Sent: Tuesday, February 11, 2003 12:11 AM
Subject: [R] Covariance matrix for GMM

> 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.
> Fred
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