Mixture Density Estimation Based on Maximum Likelihood and Sequential Test Statistics

  • Authors:
  • N. A. Vlassis;G. Papakonstantinou;P. Tsanakas

  • Affiliations:
  • Department of Electrical and Computer Engineering, National Technical University of Athens, Zografou Campus, 15773 Athens, Greece. http://www.dsdab.ece.ntua.gr;Department of Electrical and Computer Engineering, National Technical University of Athens, Zografou Campus, 15773 Athens, Greece. http://www.dsdab.ece.ntua.gr;Department of Electrical and Computer Engineering, National Technical University of Athens, Zografou Campus, 15773 Athens, Greece. http://www.dsdab.ece.ntua.gr

  • Venue:
  • Neural Processing Letters
  • Year:
  • 1999

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Abstract

We address the problem of estimating an unknown probabilitydensity function from a sequence of input samples. Weapproximate the input density with a weighted mixtureof a finite number of Gaussian kernels whose parameters andweights we estimate iteratively from the input samples using the MaximumLikelihood (ML) procedure.In order to decide on the correct total number ofkernels we employ simple statistical tests involving the mean, variance,and the kurtosis, or fourth moment, of aparticular kernel. We demonstrate the validity of ourmethod in handling both pattern classification (stationary) and time series(nonstationary) problems.