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A data driven equivariant approach to constrained Gaussian mixture modeling

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Abstract

Maximum likelihood estimation of Gaussian mixture models with different class-specific covariance matrices is known to be problematic. This is due to the unboundedness of the likelihood, together with the presence of spurious maximizers. Existing methods to bypass this obstacle are based on the fact that unboundedness is avoided if the eigenvalues of the covariance matrices are bounded away from zero. This can be done imposing some constraints on the covariance matrices, i.e. by incorporating a priori information on the covariance structure of the mixture components. The present work introduces a constrained approach, where the class conditional covariance matrices are shrunk towards a pre-specified target matrix \(\varvec{\varPsi }.\) Data-driven choices of the matrix \(\varvec{\varPsi },\) when a priori information is not available, and the optimal amount of shrinkage are investigated. Then, constraints based on a data-driven \(\varvec{\varPsi }\) are shown to be equivariant with respect to linear affine transformations, provided that the method used to select the target matrix be also equivariant. The effectiveness of the proposal is evaluated on the basis of a simulation study and an empirical example.

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Acknowledgements

The authors are grateful to the associate editor and the two anonymous referees for their useful comments which have lead to a considerable improvement of the paper.

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Authors and Affiliations

  1. Department of Economics and Finance (DEF), University of Rome Tor Vergata, Rome, Italy

    Roberto Rocci

  2. DiSFPEQ, Università G. d’Annunzio Chieti-Pescara, Chieti, Italy

    Stefano Antonio Gattone

  3. Department of Economics and Business, University of Catania, Catania, Italy

    Roberto Di Mari

Authors
  1. Roberto Rocci
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  2. Stefano Antonio Gattone
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  3. Roberto Di Mari
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Correspondence to Roberto Di Mari.

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Rocci, R., Gattone, S.A. & Di Mari, R. A data driven equivariant approach to constrained Gaussian mixture modeling. Adv Data Anal Classif 12, 235–260 (2018). https://doi.org/10.1007/s11634-016-0279-1

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  • DOI: https://doi.org/10.1007/s11634-016-0279-1

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