Model-based clustering based on sparse finite Gaussian mixtures
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Publication:66958
DOI10.1007/S11222-014-9500-2zbMATH Open1342.62109DBLPjournals/sac/Malsiner-WalliF16arXiv1606.06828OpenAlexW2075657928WikidataQ36571507 ScholiaQ36571507MaRDI QIDQ66958FDOQ66958
Sylvia Frühwirth-Schnatter, Gertraud Malsiner-Walli, Bettina Grün, Gertraud Malsiner-Walli, Sylvia Frühwirth-Schnatter
Publication date: 26 August 2014
Published in: Statistics and Computing (Search for Journal in Brave)
Abstract: In the framework of Bayesian model-based clustering based on a finite mixture of Gaussian distributions, we present a joint approach to estimate the number of mixture components and identify cluster-relevant variables simultaneously as well as to obtain an identified model. Our approach consists in specifying sparse hierarchical priors on the mixture weights and component means. In a deliberately overfitting mixture model the sparse prior on the weights empties superfluous components during MCMC. A straightforward estimator for the true number of components is given by the most frequent number of non-empty components visited during MCMC sampling. Specifying a shrinkage prior, namely the normal gamma prior, on the component means leads to improved parameter estimates as well as identification of cluster-relevant variables. After estimating the mixture model using MCMC methods based on data augmentation and Gibbs sampling, an identified model is obtained by relabeling the MCMC output in the point process representation of the draws. This is performed using -centroids cluster analysis based on the Mahalanobis distance. We evaluate our proposed strategy in a simulation setup with artificial data and by applying it to benchmark data sets.
Full work available at URL: https://arxiv.org/abs/1606.06828
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Bayesian mixture modelcluster analysisDirichlet priormultivariate Gaussian distributionnormal gamma priorsparse modeling
Bayesian inference (62F15) Classification and discrimination; cluster analysis (statistical aspects) (62H30)
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