Mixture densities, maximum likelihood, and the EM algorithm

Abstract

The problem of estimating the parameters which determine a mixture density is reviewed as well as maximum likelihood estimation for it. A particular iterative procedure for numerically approximating maximum likelihood estimates for mixture density problems is considered. This EM algorithm, is a specialization to the mixture density context of a general algorithm of the same name used to approximate maximum likelihood estimates for incomplete data problems. The formulation and theoretical and practical properties of the EM algorithm for mixture densities are discussed focussing in particular on mixtures of densities from exponential families.