I have two multivariate Gaussian variables $X \sim \mathcal{N}(\boldsymbol {\mu}_X \in \mathcal R^d,\boldsymbol {\Sigma}_X \in \mathcal R^{d \times d})$ and $Y \sim \mathcal{N}(\boldsymbol {\mu}_Y \in \mathcal R^d,\boldsymbol {\Sigma}_Y \in \mathcal R^{d \times d})$. $X$ and $Y$ are not independent. I want to model their joint distribution $(X,Y)$ as a Gaussian Mixture GMM. Does this make sense? Any insights on how to do it? Thanks

  • $\begingroup$ Can you show some plots? $\endgroup$ – user2974951 Jan 8 at 9:44

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