MATLAB: Stdev from gmdistribution.fit

gmdistribution stdev 'standard deviation' fit normal mean mu

I'm using function gmdistribution.fit to fit data which is a mixture of three normal distributions with different means and different stdevs. The function returns the mean of each component distribution all rigth, but I need also the estimated standard deviation of each distribution. How can I get that? It doesn't seem to be returned. Thanks

Best Answer

According to the example on this page: http://www.mathworks.com/help/stats/gmdistribution.fit.html, if

obj = gmdistribution.fit(...)

then

obj.Sigma

has the covariance matrix.

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MATLAB: Gmdistribution.fit and gmdistribution help needed

I don't know if your code is correct, but:

1. The text seems not to declare that the covariance is diagonal, and does use notation to suggested that it may not be shared across mixture components.

2. Unless I'm just not seeing something, you seem to compute pdf(objx,x(k,:)) twice inside the log, and the same for U, but I don't know why you would want that.

3. Your text describes U as multivariate, but you seem to create U1 with just one row and index into it repeatedly, getting scalar values each time.

4. It may be possible to avoid the loops and compute the pdf on an entire array in one call, then sum the log of the result.

MATLAB: Gmdistribution question

options = statset('Display','iter');
obj = gmdistribution.fit(X,k,options);

If that does not work, you could try the statset option OutputFcn . I cannot tell at the moment what input arguments are passed to those functions.

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MATLAB: Gmdistribution.fit and gmdistribution help needed

MATLAB: Gmdistribution question

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