[R] Fitting Mixture of Non-Central Student's t Distributions

[Balzer Susanne]

Dear Ingmar & Dave,

Thanks a lot for your help and sorry for the late reply.
Finally, I've found a way to separate the mixture of distributions
(empirically). But the gamlss package looks great, I'm sure it will help
me during my further studies.

Kind regards,

Susanne


On 15 Jun 2009, at 20:09, Ingmar Visser wrote:

> Dear Susanne & Dave,
> 
> The gamlss package family has an enormous variety of distributions and
> a function to combine
> them into mixtures. In particular, the 3 parameter student's t and the
> 4 parameter generalized t
> distribution.
> 
> Hth, Ingmar
> 
> On 15 Jun 2009, at 17:12, David Hunter wrote:
> 
> > Hi Susanne.  The mixtools package does not do this automatically and
> > I would be surprised if there were any package that does.  However,
> > it's not in principle too difficult to write code to implement an EM
> > algorithm to search for a maximum likelihood estimator in a finite
> > mixture model.   Check out a reference on finite mixture models that
> > discusses EM algorithms (e.g., Section 2.2 of
> http://www.stat.psu.edu/~dhunter/papers/mixtools.pdf
> >  although there are undoubtedly better references out there for this
> > purpose).
> >
> > In the case of components that are assumed to be noncentral Student
> > t distributions, you may have a bit of trouble since if I remember
> > correctly, it is not easy to do MLE even for the non-mixture case
> > here.  That said, in general, writing an EM algorithm for the
finite-
> > mixture-model case is not much more difficult computationally than
> > writing code for MLE in the non-mixture case.  This means that you
> > could try expanding your search to include other packages that might
> > do MLE for the (non-mixture) case of noncentral t distributions.  If
> > such a package exists, then it shouldn't be too hard to write your
> > own mixture-model EM wrapper.
> >
> > Hope this helps.  Good luck!
> > Dave
> >
> >
> >
> > David Hunter
> > Associate professor
> > Department of Statistics
> > Penn State University
> > Phone:  (814) 863-0979
> > Fax:  (814) 863-7114
> > www.stat.psu.edu/~dhunter
> >
> >
> >
> > On Jun 13, 2009, at 7:54 AM, Balzer Susanne wrote:
> >
> >> Dear all,
> >>
> >> I am attempting to model some one-dimensional data using a mixture
> >> model
> >> of non-central Student's t distributions. However, I haven't been
> >> able
> >> to find any R package that provides this functionality.
> >> Could there be a way to "manipulate" the EM algorithms from the
> >> mixdist
> >> or mixtools package to fit the model, or do you have any other
> >> suggestions?
> >>
> >> If anyone could help me out, I would be extremely grateful.
> >>
> >> Kind regards,
> >>
> >> Susanne Balzer
> >>
> >>
> >>
> >> ****************************
> >> Susanne Balzer
> >> PhD Student
> >> Institute of Marine Research
> >> N-5073 Bergen, Norway
> >> Phone: +47 55 23 69 45
> >> susanne.balzer at imr.no
> >> www.imr.no
> >>
> >> ______________________________________________
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> >> https://stat.ethz.ch/mailman/listinfo/r-help
> >> PLEASE do read the posting guide http://www.R-project.org/posting-
> guide.html
> >> and provide commented, minimal, self-contained, reproducible code.
> >
> > ______________________________________________
> > R-help at r-project.org mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-help
> > PLEASE do read the posting guide http://www.R-project.org/posting-
> guide.html
> > and provide commented, minimal, self-contained, reproducible code.