Component elimination strategies to fit mixtures of multiple scale distributions
Résumé
We address the issue of selecting automatically the number of components in mixture models with non-Gaussian components. As a more efficient alternative to the traditional comparison of several model scores in a range, we consider procedures based on a single run of the inference scheme. Starting from an overfitting mixture in a Bayesian setting, we investigate two strategies to eliminate superfluous components. We implement these strategies for mixtures of multiple scale distributions which exhibit a variety of shapes not necessarily elliptical while remaining analytical and tractable in multiple dimensions. A Bayesian formulation and a tractable inference procedure based on variational approximation are proposed. Preliminary results on simulated and real data show promising performance in terms of model selection and computational time.
Domaines
Statistiques [math.ST]
Origine : Fichiers produits par l'(les) auteur(s)
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