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What is the minimal amount of parameters that can be retained in a particular context?

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    $\begingroup$ What exactly do you mean by "retained" in this case? $\endgroup$ – gung - Reinstate Monica Oct 5 '19 at 11:52
  • $\begingroup$ For five independent normal distributions, you would need to have the population means and standard deviations of the five distributions, and the percentage of the mixture for each normal distribution. I guess that makes 15, and they're all essential. $\endgroup$ – BruceET Oct 5 '19 at 19:12
  • $\begingroup$ @Bruce The five proportions are related by the sum-to-unity equation, leaving only 14 parameters. $\endgroup$ – whuber Oct 5 '19 at 20:08
  • $\begingroup$ @whuber: Right about the 14 proportions, thanks. $\endgroup$ – BruceET Oct 5 '19 at 20:26
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If the dimension is $n$, you need $n$ parameters for each mean vector and $(n^2+n)/2$ parameters for each covariance matrix in general. Additionally, if the number of mixture components is $m$, $m-1$ parameters are needed for mixture composition weights since they need to sum up to $1$. Special constraints over covariance matrices reduce this number of parameters needed.

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  • $\begingroup$ are the $m-1$ parameters you mention the mixture weights themselves, or are they other supporting parameters? wouldn't there have to be $m$ mixture weights if there are $m$ mixture components because each weight is assigned to a different component? $\endgroup$ – develarist Jul 13 at 13:45
  • $\begingroup$ @develarist yes, they're mixture weights. $m-1$ is enough because they'll add up to $1$, and the last one can be found from others. $\endgroup$ – gunes Jul 13 at 13:47
  • $\begingroup$ but the expectation-maximization algorithm will in fact actively solve for all $m$ mixture weights, right $\endgroup$ – develarist Jul 13 at 13:49
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    $\begingroup$ The algorithm should be decoupled from the model. E-M is not the only way of solving GMMs. In general, if you can derive a parameter from others, it's not counted towards free parameters. $\endgroup$ – gunes Jul 13 at 13:55

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