EM Algorithm: i.i.d. Mixture Distribution

Maximum likelihood estimation of parameters from 2-state i.i.d. Normal mixture

This function infers the unobserved regimes and provides estimates for the parameters of a Gaussian mixture with two states using the EM algorithm.

Exact references to the relevant equations from Hamilton (1994), Chapter 22 can be found in the procedure.

Any Tx1 data vector can be fed into the function.