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

[Christian Hennig]

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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ich empfehle www.boag.de


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