A latent variable is an unobserved value inferred from observed data and a statistical model. In Gaussian mixture modeling, it represents the unknown cluster associated with each data point. section 5.6.1
EM estimates latent variables and model parameters in alternating steps:
- Estimate each data point’s probability of belonging to every cluster. section 5.6.1
- Estimate Gaussian mixture parameters, including means, covariances, and distribution weights. section 5.6.1
- Repeat these estimates until the latent values and parameters fit the data well. section 5.6.1
Probabilistic cluster membership
Given a dataset modeled by several Gaussian distributions, EM infers how strongly each point belongs to each cluster instead of assigning it to one cluster with certainty. section 5.6.1


