Mixtures of multivariate Gaussians
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Date
2024
Authors
van der Hoek, J.
Elliott, R.J.
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Stochastic Analysis and Applications, 2024; 42(4):737-752
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This article discusses the approximation of probability densities by mixtures of Gaussian densities. The Kullback-Leibler divergence is used as a measure between densities, followed by applications of the EM algorithm. The conditions under which we study these questions are motivated by approximations introduced in non-linear Kalman-type filtering.
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Copyright 2024 The Author(s). Published with license by Taylor & Francis Group, LLC. This is an Open Access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. The terms on which this article has been published allow the posting of the Accepted Manuscript in a repository by the author(s) or with their consent. (http://creativecommons.org/licenses/by/4.0/)