Estimating Components of Univariate Gaussian Mixtures Using Prony's Method

A new technique for estimating the component parameters of a mixture of univariate Gaussian distributions using the method of moments is presented. The method of moments basically involves equating the sample moments to the corresponding mixture moments expressed in terms of component parameters and solving these equations for the unknown parameters. These moment equations, however, are nonlinear in the unknown parameters, and heretofore, an analytic solution of these equations has been obtained only for two-component mixtures [2]. Numerical solutions also tend to be unreliable for more than two components, due to the large number of nonlinear equations and parameters to be solved for. In this correspondence, under the condition that the component distributions have equal variances or equal means, the nonlinear moment equations are transformed into a set of linear equations using Prony's method. The solution of these equations for the unknown parameters is analytically feasible and numerically reliable for mixtures with several components. Numerous examples using the proposed technique for two-, three-, and four-component mixtures are presented.