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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 <shill@iphysiol.unil.ch> 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
>any!


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.

Cheeers,

John.

--
John Lunt, London. john@roachend.demon.co.uk
"The Universe is not only stranger than you imagine,
... it's stranger than you can imagine."







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