expectation maximization

I have been having the realization lately that in almost all cases in which we astronomers use iterated sigma clipping, we should be fitting a mixtures of gaussians model with something like the "expectation maximization" algorithm. It has all the advantages of sigma clipping, plus a clear interpretation in terms of Bayesian statistics. I spent the morning working on that.

1 comment:

  1. I just heard a lecture on this topic at a summer school last week:
    Lecture notes (pdf)
    Note the reference at the end to the Mixtools R package that will do this automatically.