Penalized maximum likelihood for multivariate Gaussian mixture

Details Penalized maximum likelihood for multivariate Gaussian mixture Penalized maximum likelihood for multivariate Gaussian mixture

2001-11-02

arxiv.org/abs/physics/0111007v1

Physics

Data Analysis, Statistics and Probability

Presented at MaxEnt01. To appear in Bayesian Inference and Maximum Entropy Methods, B. Fry (Ed.), AIP Proceedings. 11pages, 3

Scientific paper

10.1063/1.1477037

In this paper, we first consider the parameter estimation of a multivariate random process distribution using multivariate Gaussian mixture law. The labels of the mixture are allowed to have a general probability law which gives the possibility to modelize a temporal structure of the process under study. We generalize the case of univariate Gaussian mixture in [Ridolfi99] to show that the likelihood is unbounded and goes to infinity when one of the covariance matrices approaches the boundary of singularity of the non negative definite matrices set. We characterize the parameter set of these singularities. As a solution to this degeneracy problem, we show that the penalization of the likelihood by an Inverse Wishart prior on covariance matrices results to a penalized or maximum a posteriori criterion which is bounded. Then, the existence of positive definite matrices optimizing this criterion can be guaranteed. We also show that with a modified EM procedure or with a Bayesian sampling scheme, we can constrain covariance matrices to belong to a particular subclass of covariance matrices. Finally, we study degeneracies in the source separation problem where the characterization of parameter singularity set is more complex. We show, however, that Inverse Wishart prior on covariance matrices eliminates the degeneracies in this case too.

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