[R] univariate normal mixtures
Pikounis, Bill
v_bill_pikounis at merck.com
Fri Jul 18 11:07:27 CEST 2003
Joke,
Two other places to help you with your objectives in fitting univariate
normal mixtures are:
1) The mclust package by Raftery and Fraley (available at CRAN). Their
EMclust() function, for example, lets you specify a range of "number of
components" to fit multiple models as well as the ability to specify whether
to assume equal variances or not. The Schwarz (BIC / SBC) criterion is used
to help distinguish goodness-of-fit amongst the models fitted. I have found
the fitting routines to be more-than-quick enough under Linux, but did run
into problems when running the same code under Windows.
2) The Venables & Ripley MASS book, Editions 4 and earlier, provide a very
educational and useful discussion of analyses of mixture models beyond the
fitting considerations (which are nicely covered as well). I do not have my
book copy with me at the moment, but I believe in the 4th edition the
material is covered in the last chapter entitled "Optimization".
Hope that Helps.
Best Regards,
Bill
----------------------------------------
Bill Pikounis, Ph.D.
Biometrics Research Department
Merck Research Laboratories
PO Box 2000, MailDrop RY33-300
126 E. Lincoln Avenue
Rahway, New Jersey 07065-0900
USA
v_bill_pikounis at merck.com
Phone: 732 594 3913
Fax: 732 594 1565
> -----Original Message-----
> From: Joke Allemeersch [mailto:Joke.Allemeersch at esat.kuleuven.ac.be]
> Sent: Thursday, July 17, 2003 11:58 AM
> To: r-help at stat.math.ethz.ch
> Subject: [R] univariate normal mixtures
>
>
> Hello,
>
> I have a concrete statistical question:
> I have a sample of an univariate mixture of an unknown number (k) of
> normal distributions, each time with an unknown mean `m_i' and a
> standard deviation `k * m_i', where k is known factor
> constant for all
> the normal distributions. (The `i' is a subscript.)
> Is there a function in R that can estimate the number of normal
> distributions k and the means `m_i' for the different normal
> distributions from a sample? Or evt. a function that can
> estimate the
> `m_i', when the number of distributions `k' is known?
> So far I only found a package, called `normix'. But at first
> sight it
> only provides methods to sample from such distributions and
> to estimate
> the densities; but not to fit such a distribution.
> Can someone indicate where I can find an elegant solution?
>
> Thank you in advance
>
> Joke Allemeersch
>
> Katholieke universiteit Leuven.
> Belgium.
>
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>
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