Stumpokapow
listen to the mad man
Brain fart. I have some data. One of my observable covariates is a mixture distribution (a mix of two univariate normal random variables). I have both theoretical reason to believe this is the case and observational evidence: the density function of the covariate looks like a the distribution of heights in the population. There's a mode, and then slightly to the right of the mode, there's another little peak.
In other words:
Z = wX + (1-w)Y
where w = 1 with probability p, 0 with probability 1-p
X ~ Norm(mu_1, sd_1)
Y ~ Norm(mu_2, sd_2)
Z is the observed covariate
mu_1, mu_2, sd_1, sd_2, w, and p are unknown
I want to jointly estimate mu_1, mu_2, sd_1, sd_2, and p given the dataset Z, and then classify each observation as w=1 or w=0.
I know I can do the last step with various Bayesian decision things, like MAP or whatever. But it's the first part.
This is neither homework nor publishable research, it's just me fiddling around with something.
Edit: I think I might want E-M.
Edit: I definitely want Expectation-Maximization. Thanks.
In other words:
Z = wX + (1-w)Y
where w = 1 with probability p, 0 with probability 1-p
X ~ Norm(mu_1, sd_1)
Y ~ Norm(mu_2, sd_2)
Z is the observed covariate
mu_1, mu_2, sd_1, sd_2, w, and p are unknown
I want to jointly estimate mu_1, mu_2, sd_1, sd_2, and p given the dataset Z, and then classify each observation as w=1 or w=0.
I know I can do the last step with various Bayesian decision things, like MAP or whatever. But it's the first part.
This is neither homework nor publishable research, it's just me fiddling around with something.
Edit: I think I might want E-M.
Edit: I definitely want Expectation-Maximization. Thanks.