Estimating Gaussian mixtures using sparse polynomial moment systems

06/29/2021
by   Julia Lindberg, et al.
0

The method of moments is a statistical technique for density estimation that solves a system of moment equations to estimate the parameters of an unknown distribution. A fundamental question critical to understanding identifiability asks how many moment equations are needed to get finitely many solutions and how many solutions there are. We answer this question for classes of Gaussian mixture models using the tools of polyhedral geometry. Using these results, we present an algorithm that performs parameter recovery, and therefore density estimation, for high dimensional Gaussian mixture models that scales linearly in the dimension.

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