A Gaussian mixture is a probability density function (p.d.f.). It is a combination of several Gaussian densities.
The GaussianMixture's p.d.f. is defined as the weighted sum of K multivariate Gaussian p.d.f's:
|pdf(x) = Σi=1K pi N(x;μi,Σi),|
where each N(x;μi,Σi) is a multivariate p.d.f. with mean μi and covariance matrix Σi. The coefficients pi sum to 1.
For an introduction to Gaussian mixtures see for example Bishop (2006).
© djmw, October 26, 2010