If you are using the latest version of scikit

From Scikit-Learn 0.18.2 version changed the class name GMM -> GaussianMixture

and your E-M example( in[7] example code ) should be changed code like this

from sklearn.mixture import GMM
gmm = GMM(n_components=4).fit(X)
labels = gmm.predict(X)
plt.scatter(X[:, 0], X[:, 1], c=labels, s=40, cmap='viridis');

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from sklearn.mixture import GaussianMixture
gmm = GaussianMixture(n_components=4).fit(X)
labels = gmm.predict(X)
plt.scatter(X[:, 0], X[:, 1], c=labels, s=40, cmap='viridis');