Estimating Components in Finite Mixtures and Hidden Markov Models

When the unobservable Markov chain in a hidden Markov model is stationary the marginal distribution of the observations is a finite mixture with the number of terms equal to the number of the states of the Markov chain. This suggests estimating the number of states of the unobservable Markov chain by determining the number of mixture components in the marginal distribution. We therefore present new methods for estimating the number of states in a hidden Markov model, and coincidentally the unknown number of components in a finite mixture, based on penalized quasi-likelihood and generalized quasi-likelihood ratio methods constructed from the marginal distribution. The procedures advocated are simple to calculate and results obtained in empirical applications indicate that they are as effective as current available methods based on the full likelihood. We show that, under fairly general regularity conditions, the methods proposed will generate strongly consistent estimates of the unknown number of states or components.Finite mixture, hidden Markov process, model selection, number of states, penalized quasi-likelihood, generalized quasi-likelihood ratio, strong consistency.

Scattering statistics of rock outcrops: Model-data comparisons and Bayesian inference using mixture distributions

The probability density function of the acoustic field amplitude scattered by the seafloor was measured in a rocky environment off the coast of Norway using a synthetic aperture sonar system, and is reported here in terms of the probability of false alarm. Interpretation of the measurements focused on finding appropriate class of statistical models (single versus two-component mixture models), and on appropriate models within these two classes. It was found that two-component mixture models performed better than single models. The two mixture models that performed the best (and had a basis in the physics of scattering) were a mixture between two K distributions, and a mixture between a Rayleigh and generalized Pareto distribution. Bayes' theorem was used to estimate the probability density function of the mixture model parameters. It was found that the K-K mixture exhibits significant correlation between its parameters. The mixture between the Rayleigh and generalized Pareto distributions also had significant parameter correlation, but also contained multiple modes. We conclude that the mixture between two K distributions is the most applicable to this dataset.Comment: 15 pages, 7 figures, Accepted to the Journal of the Acoustical Society of Americ

Mixtures of Skew-t Factor Analyzers

In this paper, we introduce a mixture of skew-t factor analyzers as well as a family of mixture models based thereon. The mixture of skew-t distributions model that we use arises as a limiting case of the mixture of generalized hyperbolic distributions. Like their Gaussian and t-distribution analogues, our mixture of skew-t factor analyzers are very well-suited to the model-based clustering of high-dimensional data. Imposing constraints on components of the decomposed covariance parameter results in the development of eight flexible models. The alternating expectation-conditional maximization algorithm is used for model parameter estimation and the Bayesian information criterion is used for model selection. The models are applied to both real and simulated data, giving superior clustering results compared to a well-established family of Gaussian mixture models