[R] fitting mixture of gaussians using emclust() of mclust package

Christian Hennig fm3a004 at math.uni-hamburg.de
Thu Aug 2 11:38:21 CEST 2001


Dear Jonathan,

Chapter 12 of G. McLachlan, D. Peel "Finite Mixture Models", Wiley, NY 2000
is devoted to this topic and contains lots of further references.

Regards,
Christian

On Wed, 1 Aug 2001, Jonathan Qiang Li wrote:

> Thanks for help.
> 
> Rather than using emclust(), using me() directly with  kmeans-induced
> initial starting parameters
> seems to work better (not sure how much since to get results I have to
> sample the data pretty aggressively). 
> 
> But I still found that when I have data with more than 10,000 obs,
> it takes the routine painfully long time to converge. I understand that
> the speed of 
> convergence for EM algorithm is data-dependent and in general very slow.
> But do people have some benchmark
> estimate for the relationship between the sample size and the
> computation time using R from their experience? Can also
> some one point out some references/packages for speeding up EM,
> especially when sample size and 
> dimension are not trivial? (not exactly a R-related question, but I
> thought people on this list would be interested in such problems).
> 
> Regards,
> Jonathan


***********************************************************************
Christian Hennig
University of Hamburg, Faculty of Mathematics - SPST/ZMS
 (Schwerpunkt Mathematische Statistik und Stochastische Prozesse,
 Zentrum fuer Modellierung und Simulation)
Bundesstrasse 55, D-20146 Hamburg, Germany
Tel: x40/42838 4907, privat x40/631 62 79
hennig at math.uni-hamburg.de, http://www.math.uni-hamburg.de/home/hennig/
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