How to calculate effect of correlation in Gaussian mixture model?

B Rajanarayan Prusty @B_Rajanarayan_Prusty

05 May 2016 1 5K Report

if all correlated non Gaussian random variables are modeled as one dimensional Gaussian mixture approximation, then how to obtain correlation between any two Gaussian components belonging two different non-Gaussian random variables?

Nils Ulltveit-Moe

You can perhaps use the Overlap coefficient between the two components of the mixture: http://www.r-bloggers.com/the-overlap-coefficient/

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