Clustering with the multivariate normal inverse Gaussian distribution

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Title: Clustering with the multivariate normal inverse Gaussian distribution
Authors: O'Hagan, Adrian
Murphy, Thomas Brendan
Gormley, Isobel Claire
et al.
Permanent link: http://hdl.handle.net/10197/6106
Date: Jan-2016
Abstract: Many model-based clustering methods are based on a finite Gaussian mixture model. The Gaussian mixture model implies that the data scatter within each group is elliptically shaped. Hence non-elliptical groups are often modeled by more than one component, resulting in model over-fitting. An alternative is to use a mean–variance mixture of multivariate normal distributions with an inverse Gaussian mixing distribution (MNIG) in place of the Gaussian distribution, to yield a more flexible family of distributions. Under this model the component distributions may be skewed and have fatter tails than the Gaussian distribution. The MNIG based approach is extended to include a broad range of eigendecomposed covariance structures. Furthermore, MNIG models where the other distributional parameters are constrained is considered. The Bayesian Information Criterion is used to identify the optimal model and number of mixture components. The method is demonstrated on three sample data sets and a novel variation on the univariate Kolmogorov–Smirnov test is used to assess goodness of fit.
Funding Details: Science Foundation Ireland
Type of material: Journal Article
Publisher: Elsevier
Journal: Computational Statistics and Data Analysis
Volume: 93
Start page: 18
End page: 30
Copyright (published version): 2014 Elsevier
Keywords: Machine Learning & StatisticsModel-based clusteringMultivariate normal inverse Gaussian distributionMclustInformation metricsKolmogorov–Smirnov goodness of fit
DOI: 10.1016/j.csda.2014.09.006
Language: en
Status of Item: Peer reviewed
Appears in Collections:Mathematics and Statistics Research Collection
Insight Research Collection

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