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Model-based clustering based on sparse finite Gaussian mixtures

Malsiner-Walli, Gertraud and Frühwirth-Schnatter, Sylvia and Grün, Bettina (2016) Model-based clustering based on sparse finite Gaussian mixtures. Statistics and Computing, 26 (1). pp. 303-324. ISSN 1573-1375

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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 K-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. (authors' abstract)

Item Type: Article
Additional Information: This article is published with open access at Springerlink.com.
Keywords: Bayesian mixture model / multivariate Gaussian distribution / Dirichlet prior / normal Gamma prior / Sparse modeling / cluster analysis
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Version of the Document: Published
Depositing User: Gertraud Novotny
Date Deposited: 05 Feb 2016 10:59
Last Modified: 15 Nov 2017 03:23
Related URLs:
FIDES Link: https://bach.wu.ac.at/d/research/results/70645/
URI: http://epub.wu.ac.at/id/eprint/4837

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