April 15, 2012

Mixture Models (Advanced Data Analysis from an Elementary Point of View)

From factor analysis to mixture models by allowing the latent variable to be discrete. From kernel density estimation to mixture models by reducing the number of points with copies of the kernel. Probabilistic formulation of mixture models. Geometry: planes again. Probabilistic clustering. Estimation of mixture models by maximum likelihood, and why it leads to a vicious circle. The expectation-maximization (EM, Baum-Welch) algorithm replaces the vicious circle with iterative approximation. More on the EM algorithm: convexity, Jensen's inequality, optimizing a lower bound, proving that each step of EM increases the likelihood. Mixtures of regressions. Other extensions.

Extended example: Precipitation in Snoqualmie Falls revisited. Fitting a two-component Gaussian mixture; examining the fitted distribution; checking calibration. Using cross-validation to select the number of components to use. Examination of the selected mixture model. Suspicious patterns in the parameters of the selected model. Approximating complicated distributions vs. revealing hidden structure. Using bootstrap hypothesis testing to select the number of mixture components.

Reading: Notes, chapter 20; mixture-examples.R

Advanced Data Analysis from an Elementary Point of View

Posted by crshalizi at April 15, 2012 20:00 | permanent link

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