论文标题

使用加权完整估算方程式对混合模型的强大拟合

Robust Fitting of Mixture Models using Weighted Complete Estimating Equations

论文作者

Sugasawa, Shonosuke, Kobayashi, Genya

论文摘要

考虑数据中潜在的异质性的混合模型被广泛用于分类和聚类问题。混合模型可以使用预期最大化算法进行估算,该算法可与基于混合模型的层次表达式的群集分配的潜在成员变量进行完整的估计方程式。但是,当混合物成分具有灯尾部(例如正态分布)时,混合模型可能对异常值敏感。这项研究提出了一种加权完整估计方程(WCE)的方法,以构成混合模型的可靠拟合。我们的WCE介绍了重量以完成估计方程式,以便权重可以自动减轻异常值。重量的构造与混合模型的密度差异相似,但是在我们的WCE中,它们仅取决于组件分布,而不取决于整个混合物。还开发了一种新颖的期望估计方程式(EEE)算法来解决WCE。出于说明目的,考虑了多元高斯混合物,专家的混合物和多元偏斜的正常混合物,以及如何为这些特定模型实现我们的EEE算法。使用模拟和真实数据集检查了所提出的鲁棒估计方法的数值性能。

Mixture modeling, which considers the potential heterogeneity in data, is widely adopted for classification and clustering problems. Mixture models can be estimated using the Expectation-Maximization algorithm, which works with the complete estimating equations conditioned by the latent membership variables of the cluster assignment based on the hierarchical expression of mixture models. However, when the mixture components have light tails such as a normal distribution, the mixture model can be sensitive to outliers. This study proposes a method of weighted complete estimating equations (WCE) for the robust fitting of mixture models. Our WCE introduces weights to complete estimating equations such that the weights can automatically downweight the outliers. The weights are constructed similarly to the density power divergence for mixture models, but in our WCE, they depend only on the component distributions and not on the whole mixture. A novel expectation-estimating-equation (EEE) algorithm is also developed to solve the WCE. For illustrative purposes, a multivariate Gaussian mixture, a mixture of experts, and a multivariate skew normal mixture are considered, and how our EEE algorithm can be implemented for these specific models is described. The numerical performance of the proposed robust estimation method was examined using simulated and real datasets.

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