[R] Fitting Mixture of Non-Central Student's t Distributions
susanne.balzer at imr.no
Thu Aug 6 12:51:26 CEST 2009
Dear Ingmar & Dave,
Thanks a lot for your help and sorry for the late reply.
Finally, I've found a way to separate the mixture of distributions
(empirically). But the gamlss package looks great, I'm sure it will help
me during my further studies.
On 15 Jun 2009, at 20:09, Ingmar Visser wrote:
> Dear Susanne & Dave,
> The gamlss package family has an enormous variety of distributions and
> a function to combine
> them into mixtures. In particular, the 3 parameter student's t and the
> 4 parameter generalized t
> Hth, Ingmar
> On 15 Jun 2009, at 17:12, David Hunter wrote:
> > Hi Susanne. The mixtools package does not do this automatically and
> > I would be surprised if there were any package that does. However,
> > it's not in principle too difficult to write code to implement an EM
> > algorithm to search for a maximum likelihood estimator in a finite
> > mixture model. Check out a reference on finite mixture models that
> > discusses EM algorithms (e.g., Section 2.2 of
> > although there are undoubtedly better references out there for this
> > purpose).
> > In the case of components that are assumed to be noncentral Student
> > t distributions, you may have a bit of trouble since if I remember
> > correctly, it is not easy to do MLE even for the non-mixture case
> > here. That said, in general, writing an EM algorithm for the
> > mixture-model case is not much more difficult computationally than
> > writing code for MLE in the non-mixture case. This means that you
> > could try expanding your search to include other packages that might
> > do MLE for the (non-mixture) case of noncentral t distributions. If
> > such a package exists, then it shouldn't be too hard to write your
> > own mixture-model EM wrapper.
> > Hope this helps. Good luck!
> > Dave
> > David Hunter
> > Associate professor
> > Department of Statistics
> > Penn State University
> > Phone: (814) 863-0979
> > Fax: (814) 863-7114
> > www.stat.psu.edu/~dhunter
> > On Jun 13, 2009, at 7:54 AM, Balzer Susanne wrote:
> >> Dear all,
> >> I am attempting to model some one-dimensional data using a mixture
> >> model
> >> of non-central Student's t distributions. However, I haven't been
> >> able
> >> to find any R package that provides this functionality.
> >> Could there be a way to "manipulate" the EM algorithms from the
> >> mixdist
> >> or mixtools package to fit the model, or do you have any other
> >> suggestions?
> >> If anyone could help me out, I would be extremely grateful.
> >> Kind regards,
> >> Susanne Balzer
> >> ****************************
> >> Susanne Balzer
> >> PhD Student
> >> Institute of Marine Research
> >> N-5073 Bergen, Norway
> >> Phone: +47 55 23 69 45
> >> susanne.balzer at imr.no
> >> www.imr.no
> >> ______________________________________________
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> >> and provide commented, minimal, self-contained, reproducible code.
> > ______________________________________________
> > R-help at r-project.org mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-help
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> > and provide commented, minimal, self-contained, reproducible code.
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