A new approach to cluster-weighted modeling

We discuss an approach to joint density estimation called cluster-weighted modeling (CWM). The base approach was originally proposed by Gershenfeld (1998). We describe two innovations to the base CWM. Among these, the first enables the CWM to work with continuous streams of data. The second addresses the commonplace problem of local minima which may be encountered during the CWM parameter adjustment process. Our approach to mitigate this problem is quite elaborate, but it represents a principled way of improving the efficacy of the parameter adjustment process. We illustrate CWM and our performance enhancements with an example.