Displaying 5 results from an estimated 5 matches for "normalmix".
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normalmixem
2013 Mar 30
1
normal mixture EM not working?
Hi,
I am currently working on fitting a mixture density to financial data.
I have the following data:
http://s000.tinyupload.com/?file_id=00083355432555420222
I want to fit a mixture density of two normal distributions.
I have the formula:
f(l)=πϕ(l;μ1,σ21)+(1−π)ϕ(l;μ2,σ22)
my R code is:
normalmix<-normalmixEM(dat,k=2,fast=TRUE)
pi<-normalmix$lambda[1]
mu1<-normalmix$mu[1]
mu2<-normalmix$mu[2]
sigma1<-normalmix$sigma[1]
sigma2<-normalmix$sigma[2]
Now I have the problem, that the output is not consistent, i.e. every time
I run the code, I get different outputs! And...
2013 Mar 31
0
Standard error of normalmixEM fit?
...he standard errors of the estimates via the boot.se command of
the mixtools package. My question is now, if the output is correct? It
seems a bit odd to me, so is this correct what I am doing and can I rely on
the values?
My data: http://s000.tinyupload.com/?file_id=09285782882980618119
My code:
normalmix<-normalmixEM(dat,k=2,lambda=c(0.99024,(1-0.99024)),fast=FALSE,maxit=10000,epsilon
= 1e-16,maxrestarts=1000)
normalmix$loglik
normalmix$lambda
se<-boot.se(normalmix,B=1000)
se$lambda.se
se$mu.se
se$sigma.se
final results:
lambdahat = 0.990238663
mu1hat= -0.00115
mu2hat= 0....
2013 Apr 04
0
Std. error of normalmixEM with boot.se
...he standard errors of the estimates via the boot.se command of
the mixtools package. My question is now, if the output is correct? It
seems a bit odd to me, so is this correct what I am doing and can I rely on
the values?
My data: http://s000.tinyupload.com/?file_id=09285782882980618119
My code:
normalmix<-normalmixEM(dat,k=2,lambda=c(0.99024,(1-0.99024)),fast=FALSE,maxit=10000,epsilon
= 1e-16,maxrestarts=1000)
normalmix$loglik
normalmix$lambda
se<-boot.se(normalmix,B=1000)
se$lambda.se
se$mu.se
se$sigma.se
final results:
lambdahat = 0.990238663
mu1hat= -0.00115
mu2hat= 0....
2013 Apr 04
0
Std. error normalmixEM using boot.se
...rs of the estimates via the boot.se command of
the mixtools package. My question is now, if the output is correct? It
seems a bit odd to me, so is this correct what I am doing and can I rely on
the values?
My data can be found at:
http://s000.tinyupload.com/?file_id=09285782882980618119
my code:
normalmix<-normalmixEM(dat,k=2,lambda=c(0.99024,(1-0.99024)),fast=FALSE,maxit=10000,epsilon=1e-16,maxrestarts=1000)
normalmix$loglik
normalmix$lambda
se<-boot.se(normalmix,B=1000)
se$lambda.se
se$mu.se
se$sigma.se
final results:
labmdahat=0.99024
mu1hat=-0.00115
mu2hat=0.040177
sigma1hat=0.01222
sig...
2007 Feb 23
3
mixture of 2 normals - starting values
Hi,
I have a problem of estimating a mixture of two normal distributions. I
need to find the starting points automatically, since this is a part of a
larger piece of image processing code.
I found the mix2normal1 function in VGAM package that mentions a method of
finding starting values for mu1 and mu2 but refers the reader to a book by
Everitt and Hand. Unfortunately, I do not have an easy