EM for Mixtures of Multivariate Normals

EM for mixtures of univariate normals

Code up the the EM algorithm for mixtures of univariate normals.

There are lots of things to try!!

• how do pick starting values
• how do you monitor convergence
  
• try BIC and AIC to pick the number of components
• try real and simulated data

EM for Mixtures of Multivariate Normals

If you want you can spend all your time on the univariate mixtures!!

But if you get that working ok, pretty fast, you should be keen to do:

Code up the the EM algorithm for mixtures of multivariate normals.

There are lots of things to try!!

• how do pick starting values
• how do you monitor convergence
  
• try BIC and AIC to pick the number of components
• try real and simulated data

I would start with \(p=2\) !!