Initializing the EM Algorithm for Univariate Gaussian, Multi-Component, Heteroscedastic Mixture Models by Dynamic Programming Partitions
Andrzej Polański, Michał Marczyk, Monika Pietrowska, Piotr Widłak, Joanna Polańska · International Journal of Computational Methods · 2017
Setting initial values of parameters of mixture distributions estimated by using the EM recursive algorithm is very important to the overall quality of estimation. None of the existing methods are suitable for heteroscedastic mixtures with a large number of components. We present relevant novel methodology of estimating the initial values of parameters of univariate, heteroscedastic Gaussian mixtures, on the basis of dynamic programming partitioning of the range of observations into bins. We evaluate variants of the dynamic programming method corresponding to different scoring functions for partitioning. We demonstrate the superior efficiency of the proposed method compared to existing techniques for both simulated and real datasets.