1. INITIALIZE: Set Initial values for C,R,W (Rendom or approximate solution from sample).
2. WHILE change in LogLikelihood llh is greater than є and MaxIteration has not been reached Do E and M Steps.

E step
C'=0, R'=0, W'=0, llh=0
For i =1 to n
Sumpi = 0
For j=1 to k
δij = (yi - cj)T R-1 (yi - cj)
Pij = [wi/((2π)p/2|R|1/2)] exp [-1/2 δij]
Sumpi = sumpi + pij
End for
Xi = pi/sumpi
lh = llh + ln(sumpi)
C' = C'+ yi xiT
W' = W' + x i
End for

M step
For j=1 to k
Cj = C'j / W'j
For i=1 to n
R' = R' + (yi - cj) xij (yi - cj)T
End for
R = R' / n
W = W' / n