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Learning a multivariate Gaussian mixture model with the reversible jump MCMC algorithm

Learning a multivariate Gaussian mixture model with the reversible jump MCMC algorithm This paper is a contribution to the methodology of fully Bayesian inference in a multivariate Gaussian mixture model using the reversible jump Markov chain Monte Carlo algorithm. To follow the constraints of preserving the first two moments before and after the split or combine moves, we concentrate on a simplified multivariate Gaussian mixture model, in which the covariance matrices of all components share a common eigenvector matrix. We then propose an approach to the construction of the reversible jump Markov chain Monte Carlo algorithm for this model. Experimental results on several data sets demonstrate the efficacy of our algorithm. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Statistics and Computing Springer Journals

Learning a multivariate Gaussian mixture model with the reversible jump MCMC algorithm

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References (33)

Publisher
Springer Journals
Copyright
Copyright © 2004 by Kluwer Academic Publishers
Subject
Statistics; Data Structures, Cryptology and Information Theory; Numeric Computing; Mathematical Modeling and Industrial Mathematics; Statistics, general
ISSN
0960-3174
eISSN
1573-1375
DOI
10.1023/B:STCO.0000039484.36470.41
Publisher site
See Article on Publisher Site

Abstract

This paper is a contribution to the methodology of fully Bayesian inference in a multivariate Gaussian mixture model using the reversible jump Markov chain Monte Carlo algorithm. To follow the constraints of preserving the first two moments before and after the split or combine moves, we concentrate on a simplified multivariate Gaussian mixture model, in which the covariance matrices of all components share a common eigenvector matrix. We then propose an approach to the construction of the reversible jump Markov chain Monte Carlo algorithm for this model. Experimental results on several data sets demonstrate the efficacy of our algorithm.

Journal

Statistics and ComputingSpringer Journals

Published: Oct 19, 2004

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