Degeneracy of the EM algorithm for the MLE of multivariate Gaussian mixtures and dynamic constraints

Salvatore Ingrassia and Roberto Rocci

Computational Statistics & Data Analysis, 2011, vol. 55, issue 4, 1715-1725

Abstract: EM algorithms for multivariate normal mixture decomposition have been recently proposed in order to maximize the likelihood function in a constrained parameter space having no singularities and a reduced number of spurious local maxima. However, such approaches require some a priori information about the eigenvalues of the covariance matrices. The behavior of the EM algorithm near a degenerated solution is investigated. The obtained theoretical results would suggest a new kind of constraint based on the dissimilarity between two consecutive updates of the eigenvalues of each covariance matrix. The performances of such a "dynamic" constraint are evaluated on the grounds of some numerical experiments.

Keywords: Mixture; models; EM; algorithm; Degeneracy; Dynamic; constraints (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (11)

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