Sunday, 1 April 2007

st.statistics - Estimate gaussian (mixture) density from a set of weighted samples

The usual EM algorithm can be modified for weighted inputs. Following along the Wikipedia presentation, you would use these formulas instead:



ai=fracsumj=1Nwjyi,jsumj=1Nwj



and



mui=fracsumjwjyi,jxjsumjwjyi,j



where wjge0 are the weights of the data points.

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