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Topic: Fitting multiple probability distributions
Replies: 1   Last Post: Jun 16, 1996 6:19 AM

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John Lunt

Posts: 2
Registered: 12/12/04
Re: Fitting multiple probability distributions
Posted: Jun 16, 1996 6:19 AM
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On Tue, 11 Jun 1996, Sean Hill <> wrote
>Does anyone have a good algorithm for fitting gaussians to multiple partially
>overlapping distributions?
>I feel like there must be some way to do this well, but I can't seem to find

It depends how much information you have available, and how you want to
define the "fit".

If you have N variables X_i from your overlapping distributions which
you are fitting with N Gaussians Z_i, the the Gaussians are completely
determined by their means and their covariance matrix E[Z_i Z_j]. One
approach is therefore just to calculate the mean and covariance of your
X_i and use this to define the Z_i.

Other approaches would define a metric which measures "goodness" of fit
in a way relevant to your problem, and then minimizes over the
parameters of the Gaussian. Depends on what you need really.



John Lunt, London.
"The Universe is not only stranger than you imagine,
... it's stranger than you can imagine."

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