[R] Fitting Mixture of Non-Central Student's t Distributions

[David Hunter]

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 http://www.stat.psu.edu/~dhunter/papers/mixtools.pdf 
  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 finite- 
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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