On Thu, Feb 13, 2014 at 03:18:00PM -0800, Charles Greenberg wrote:
> Sorry to bring up this old thread, but it'd be very helpful (and I imagine,
> fairly trivial to implement) an option to assign weights to the data points
> used in GMM fitting. It can allow some pretty cool things, like directly
> fitting GMMs to a grid where a probability density is assigned to each grid
> point. At least, I'd find it cool!

Fitting a GMM to a PDF has no sens. A GMM is a density estimator. It
works from data points, not density estimates. Fitting Gaussians on a
histogram is another problem that must be tackled with other algorithms.
However, it will give a very bad estimator, and I believe that it should
not be used.

Do you have any other usecases in mind for fitting a GMM to weighted data
points?

Gaƫl

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