[R] Mixture of Univariate Normals

[Roger Peng]

You should be able to use the 'optim' function in R.  I think this is
demonstrated in MASS 4th edition (not 100% sure).

-roger
_______________________________
UCLA Department of Statistics
rpeng at stat.ucla.edu
http://www.stat.ucla.edu/~rpeng

On Tue, 22 Oct 2002, Sharon Kuhlmann-Berenzon wrote:

> 
> 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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