Location and scale mixtures of Gaussians with flexible tail behaviour: Properties, inference and application to multivariate clustering

Wraith, Darren & Forbes, Florence (2015) Location and scale mixtures of Gaussians with flexible tail behaviour: Properties, inference and application to multivariate clustering. Computational Statistics and Data Analysis, 90, pp. 61-73.

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The family of location and scale mixtures of Gaussians has the ability to generate a number of flexible distributional forms. The family nests as particular cases several important asymmetric distributions like the Generalized Hyperbolic distribution. The Generalized Hyperbolic distribution in turn nests many other well known distributions such as the Normal Inverse Gaussian. In a multivariate setting, an extension of the standard location and scale mixture concept is proposed into a so called multiple scaled framework which has the advantage of allowing different tail and skewness behaviours in each dimension with arbitrary correlation between dimensions. Estimation of the parameters is provided via an EM algorithm and extended to cover the case of mixtures of such multiple scaled distributions for application to clustering. Assessments on simulated and real data confirm the gain in degrees of freedom and flexibility in modelling data of varying tail behaviour and directional shape.

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ID Code: 92573
Item Type: Journal Article
Refereed: Yes
Keywords: Covariance matrix decomposition; EM algorithm; Gaussian location and scale mixture; Multivariate Generalized Hyperbolic distribution; Robust clustering
DOI: 10.1016/j.csda.2015.04.008
ISSN: 0167-9473
Divisions: Current > QUT Faculties and Divisions > Faculty of Health
Current > Institutes > Institute of Health and Biomedical Innovation
Current > Schools > School of Public Health & Social Work
Copyright Owner: Copyright 2015 Elsevier B.V.
Deposited On: 02 Feb 2016 22:41
Last Modified: 03 Feb 2016 22:04

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