Sign up ×
MathOverflow is a question and answer site for professional mathematicians. It's 100% free, no registration required.

I have a Mixture of Gaussians to model an arbitrary distribution. I would like to model a distribution derived from this GMM with:

Mean = Weighted average mean of GMM means.

I am not sure about how to combine the co variances of each clusters into one. Is there a standard way for doing this?

share|cite|improve this question

1 Answer 1

Could it be that what you're looking for is the law of total covariance?

share|cite|improve this answer

Your Answer


By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.