I think the problem (for me at least) is that you haven't stated the problem quite clearly enough. I may (quite probably) be missing something; the means clearly combine additively (mean=a1*u1+a2*u2), I think the covariances combine additively as well.
In addition, you may not be getting much in the way of answers because this is a general stats/probability question, not an R question. People on this list sometimes answer general questions if they're feeling particularly generous and/or interested, but it's not the general purpose of the list; you could try the newsgroup sci.stat.consult ... Ben Bolker On Tue, 11 Feb 2003, Feng Zhang wrote: > There is no way to answer this question? > > even for writing the sample covariance matrix > formulation for the data set [X, Y] where > X(n observations) and Y (m observations) are from > the class 1 and class 2 which both are > multidimensional normal distribution? > > > ----- Original Message ----- > From: "Feng Zhang" <[EMAIL PROTECTED]> > To: "R-Help" <[EMAIL PROTECTED]> > Sent: Tuesday, February 11, 2003 12:11 AM > Subject: [R] Covariance matrix for GMM > > > > Hey, All > > > > Now I generate a data vector X (d-dimension column vector) from a Gaussian > > Mixture Model (GMM). > > That is, the pdf of vector X is > > f(X) = a1*N(u1, Cov1) + a2*(u2, Cov2) > > where a1+a2 = 1, N is multidimensional normal distribution, ui is the mean > > vecotr, Covi is the covariance matrix, i=1, 2. > > > > So can I get the close forms of the mean and covariance matrix for the > > random vector X? > > > > Thanks very much. > > > > Fred > > > > ______________________________________________ > > [EMAIL PROTECTED] mailing list > > http://www.stat.math.ethz.ch/mailman/listinfo/r-help > > ______________________________________________ > [EMAIL PROTECTED] mailing list > http://www.stat.math.ethz.ch/mailman/listinfo/r-help > -- 318 Carr Hall [EMAIL PROTECTED] Zoology Department, University of Florida http://www.zoo.ufl.edu/bolker Box 118525 (ph) 352-392-5697 Gainesville, FL 32611-8525 (fax) 352-392-3704 ______________________________________________ [EMAIL PROTECTED] mailing list http://www.stat.math.ethz.ch/mailman/listinfo/r-help
