Expectation–Maximization algorithm for finite mixture of α-stable distributions

A Gaussian Mixture Model (GMM) is a parametric probability density function built as a weighted sum of Gaussian distributions. Gaussian mixtures are used for modelling the probability distribution in many fields of research nowadays. Nevertheless, in many real applications, the components are skewed...

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Vydáno v:	Neurocomputing (Amsterdam) Ročník 413; s. 210 - 216
Hlavní autoři:	Castillo-Barnes, D., Martinez-Murcia, F.J., Ramírez, J., Górriz, J.M., Salas-Gonzalez, D.
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	Elsevier B.V 06.11.2020
Témata:	Alpha-stable distribution Alpha-stable mixture model Expectation–Maximization algorithm Expectation–Maximization algorithm Alpha-stable mixture model Alpha-stable distribution
ISSN:	0925-2312, 1872-8286
On-line přístup:	Získat plný text
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Popis
Shrnutí:	A Gaussian Mixture Model (GMM) is a parametric probability density function built as a weighted sum of Gaussian distributions. Gaussian mixtures are used for modelling the probability distribution in many fields of research nowadays. Nevertheless, in many real applications, the components are skewed or heavy tailed. For that reason, it is useful to model the mixtures as components with α-stable distribution. In this work, we present a mixture of skewed α-stable model where the parameters are estimated using the Expectation–Maximization algorithm. As the Gaussian distribution is a particular limiting case of α-stable distribution, the proposed model is a generalization of the widely used GMM. The proposed algorithm is much faster than the parameter estimation of the α-stable mixture model using a Bayesian approach and Markov chain Monte Carlo methods. Therefore, it is more suitable to be used for large vector observations.
ISSN:	0925-2312 1872-8286
DOI:	10.1016/j.neucom.2020.06.114