A robust model-based clustering based on the geometric median and the Median Covariation Matrix

Antoine Godichon-Baggioni (1) , Stephane S. Robin

1 LPSM (UMR_8001) - Laboratoire de Probabilités, Statistique et Modélisation

Grouping observations into homogeneous groups is a recurrent task in statistical data analysis. We consider Gaussian Mixture Models, which are the most famous parametric model-based clustering method. We propose a new robust approach for model-based clustering, which consists in a modification of the EM algorithm (more specifically, the M-step) by replacing the estimates of the mean and the variance by robust versions based on the median and the median covariation matrix. All the proposed methods are available in the R package RGMM accessible on CRAN.

Mots clés: EM algorithm; Geometric median; Median Covariation Matrix; Mixture models; Robust statistics

Domaines: Statistiques [math.ST]

Antoine Godichon-Baggioni, Stephane S. Robin. A robust model-based clustering based on the geometric median and the Median Covariation Matrix. 2022. ⟨hal-03853744⟩