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An EM-like algorithm for semi- and non-parametric estimation in multivariate mixtures

Abstract : We propose an algorithm that is not, but that strongly resembles, a true EM algorithm for nonparametric estimation for finite mixtures of multivariate random vectors. The vectors are assumed to have independent coordinates conditional upon knowing which mixture component from which they come, but otherwise their density functions are completely unspecified. In certain special cases, the density functions may be partially specified by Euclidean parameters, a case we call semiparametric. Our algorithm is much more flexible and easily applicable than existing algorithms in the literature; it can be extended to any number of mixture components and any number of vector coordinates of the multivariate observations. Thus it may be applied even in situations where the model is not identifiable, so care is called for when using it in situations for which identifiability is difficult to establish conclusively. Our algorithm yields much smaller mean integrated squared errors than an alternative algorithm in a simulation study. In another example using a real dataset, it provides new insights that extend previous analyses. Finally, we discuss two different variations of our algorithm, one stochastic and one deterministic, and find anecdotal evidence that there is not a great deal of difference between the performance of these two variants.
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Contributor : Didier Chauveau <>
Submitted on : Monday, January 7, 2008 - 11:32:52 AM
Last modification on : Thursday, May 3, 2018 - 3:32:06 PM
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Tatiana Benaglia, Didier Chauveau, David Hunter. An EM-like algorithm for semi- and non-parametric estimation in multivariate mixtures. Journal of Computational and Graphical Statistics, Taylor & Francis, 2009, 18 (2), pp.505-526. ⟨10.1198/jcgs.2009.07175⟩. ⟨hal-00193730v2⟩



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