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Estimation using Method of Moments #98
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There's also a more recent paper that introduces computationally efficient algorithms for method of moments estimation for Gaussian mixtures: https://arxiv.org/abs/2202.06930. |
I don't think I am going to implement this, but feel free to do so. |
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There is a publication by Daniel Hsu and Sham Kakade (https://arxiv.org/abs/1206.5766) that describes how to estimate certain GMMs using the Method of Moments and tensor decomposition. This as appears to be interesting, as a MLE tends to end up in local optima.
I implemented this approach for my master thesis and if there is interest in such a contribution, I could port my code for usage with GaussianMixtures.jl.
Just let me know!
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