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st: finite mixture models with the EM algorithm

From   László Sándor <[email protected]>
To   [email protected]
Subject   st: finite mixture models with the EM algorithm
Date   Thu, 17 Sep 2009 14:34:01 -0400

Dear fellow statalisters,

I am estimating a model where I assume that the dependent variable
came from either of two classical normal linear models, with some
probabilities for the one and the other. This is a finite mixture
model, and I had some success with Partha Deb's -fmm- command.

However, I heard it might be very much worthwhile to try the
estimation using the EM algorithm, not standard (though fine-tuned á
la Stata) ML.  Before any more Google searches getting lost among
latent class models and various related topics, I would ask you
whether you happen to know a tool (or way) that can do this estimation
using the EM algorithm.

(I know that there are different software packages claiming to do
this, but I would rather stick to Stata. Especially because Stata does
EM for -xtmixed-, for instance, so maybe it is also easily applicable
to my problem somehow.)

Thank you very much, you're help is very much appreciated, as always.


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