
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) = Σ_{i=1}^{K} p_{i} N(x;μ_{i},Σ_{i}), 
where each N(x;μ_{i},Σ_{i}) is a multivariate p.d.f. with mean μ_{i} and covariance matrix Σ_{i}. The coefficients p_{i} sum to 1.
For an introduction to Gaussian mixtures see for example Bishop (2006).
© djmw, October 26, 2010