[R] Mixture of Univariate Normals

[Sharon Kuhlmann-Berenzon]

Dear list,

Can anyone provide a package or code for estimating the parameters of a
mixture of c (c >=2) univariate normal distributions?

I've tried the algorithm provided by Venables & Ripley (1999) p 263, for
the mixture of two normal, but I don't find the "ms" function in R. I've
used nls instead, but I'm not sure if it works the same.

The data I have is very peaked and with long tails. It should be the
mixture of two distributions (2 types of particles), possibly with the
same mean or very similar means. The QQ plot using the results of the VR
algorithm (above), however, still show a clear S shape. Could this mean
that there is yet another normal distribution in the mixture, ie c=3?

I've started the VR algorithm with different starting points, but they
always converge to the same estimates.  I have about < 12000
observations, and the VR algorithm converges after about 15 iterations.

Thank you for any help.


Sharon Kühlmann


+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
SHARON KÜHLMANN-BERENZON

Tel. +46-31-772 53 60			Dept. Mathematical Statistics
Fax. +46-31-772 35 08			Chalmers University of Tech.
e-mail: sharon at math.chalmers.se		Eklandagatan 86
					412 96 Göteborg, Sweden

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