Re: [R] Simulating Gaussian Mixture Models

From: Wensui Liu <liuwensui_at_gmail.com>
Date: Sun, 22 Jun 2008 21:36:04 -0400

Hi, Peng,
I had a piece of SAS code for 2-class gaussian mixture from my blog. You might convert it to R code.

2-Class Gaussian Mixture Model in SAS
data d1;

  do i = 1 to 100;
    x = ranuni(1);
    e = rannor(1);
    y = 5 * x + e;

    output;
  end;
run;

data d2;

  do i = 1 to 100;
    x = ranuni(2);
    e = rannor(2);

    y = 15 + 10 * x - 5 * x ** 2 + e;
    output;
  end;
run;

data data;
  set d1 d2;
run;

proc nlmixed data = data tech = quanew maxiter = 1000;   parms b10 = 0 b11 = 5 b12 = 0 b20 = 15 b21 = 10 b22 = -5

        prior = 0.1 to 0.9 by 0.01 sigma = 1;

  mu1 = b10 + b11 * x + b12 * x * x;
  mu2 = b20 + b21 * x + b22 * x * x;
  pi = constant('pi');

  P1 = 1 / (((2 * pi) ** 0.5) * sigma) * exp(-0.5 * ((y - mu1) / sigma) ** 2);   P2 = 1 / (((2 * pi) ** 0.5) * sigma) * exp(-0.5 * ((y - mu2) / sigma) ** 2);

  LH = P1 * prior + P2 * (1 - prior);
  LL = log(LH);

  model y ~ general(LL);
run;

/*

                      Parameter Estimates

                      Standard
 Parameter  Estimate     Error    DF  t Value  Pr > |t|   Alpha
 b10         -0.1744    0.3450   200    -0.51    0.6137    0.05
 b11          5.3426    1.5040   200     3.55    0.0005    0.05
 b12        -0.06454    1.4334   200    -0.05    0.9641    0.05
 b20         15.3652    0.3099   200    49.57    <.0001    0.05
 b21          9.6297    1.4970   200     6.43    <.0001    0.05
 b22         -5.4795    1.4776   200    -3.71    0.0003    0.05
 prior        0.5000   0.03536   200    14.14    <.0001    0.05
 sigma        1.0049   0.05025   200    20.00    <.0001    0.05
*/
On 6/22/08, Peng Jiang <jp021_at_sjtu.edu.cn> wrote:
>
>
> Hi,
> Is there any package that I can use to simulate the Gaussian Mixture Model
> , which is a mixture modeling method that is widely used in statistical
> learning theory.
> I know there is a mclust, however, I think it is a little bit different
> from my problem.
> Thanks very much..
>
> regards.
>
>
>
>
>
>
>
>
> --------------------------
> Peng Jiang
> 江鹏
> Ph.D. Candidate
>
> Antai College of Economics & Management
> 安泰经济管理学院
> Department of Mathematics
> 数学系
> Shanghai Jiaotong University (Minhang Campus)
> 800 Dongchuan Road
> 200240 Shanghai
> P. R. China
>
> ______________________________________________
> R-help_at_r-project.org mailing list
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> PLEASE do read the posting guide
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>
-- 
===============================
WenSui Liu
Acquisition Risk, Chase
Email : wensui.x.liu_at_chase.com
Blog   : statcompute.spaces.live.com
===============================
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Received on Mon 23 Jun 2008 - 02:45:50 GMT

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