I was wondering if anyone has any hints about how to visualize a Gaussian Mixture Model (GMM) of data that has more than 3 dimensions?
I know that a common method for visualizing high dimensional data is multidimensional scaling (MDS). What I'd like to do is to plot the data for which the GMM is computed by using MDS and visualize the means and covariances in the same plot. This can quite easily be done with the mean vectors, since they are single points and can just be added to the data set when MDS is applied. But I'm wondering how I could visualize the covariances?
If anyone has any ideas, I'd be very happy.
Thank you very much,