86 research outputs found
Consistency, breakdown robustness, and algorithms for robust improper maximum likelihood clustering
The robust improper maximum likelihood estimator (RIMLE) is a new method for
robust multivariate clustering finding approximately Gaussian clusters. It
maximizes a pseudo-likelihood defined by adding a component with improper
constant density for accommodating outliers to a Gaussian mixture. A special
case of the RIMLE is MLE for multivariate finite Gaussian mixture models. In
this paper we treat existence, consistency, and breakdown theory for the RIMLE
comprehensively. RIMLE's existence is proved under non-smooth covariance matrix
constraints. It is shown that these can be implemented via a computationally
feasible Expectation-Conditional Maximization algorithm.Comment: The title of this paper was originally: "A consistent and breakdown
robust model-based clustering method
Locally Adaptive Bayesian P-Splines with a Normal-Exponential-Gamma Prior
The necessity to replace smoothing approaches with a global amount of smoothing arises in a variety of situations such as effects with highly varying curvature or effects with discontinuities. We present an implementation of locally adaptive spline smoothing using a class of heavy-tailed shrinkage priors. These priors utilize scale mixtures of normals with locally varying exponential-gamma distributed variances for the differences of the P-spline coefficients. A fully Bayesian hierarchical structure is derived with inference about the posterior being based on Markov Chain Monte Carlo techniques. Three increasingly flexible and automatic approaches are introduced to estimate the spatially varying structure of the variances. In an extensive simulation study, the performance of our approach on a number of benchmark functions is shown to be at least equivalent, but mostly better than previous approaches and fits both functions of smoothly varying complexity and discontinuous functions well. Results from two applications also reflecting these two situations support the simulation results
Semiparametric estimation of a two-component mixture of linear regressions in which one component is known
A new estimation method for the two-component mixture model introduced in
\cite{Van13} is proposed. This model consists of a two-component mixture of
linear regressions in which one component is entirely known while the
proportion, the slope, the intercept and the error distribution of the other
component are unknown. In spite of good performance for datasets of reasonable
size, the method proposed in \cite{Van13} suffers from a serious drawback when
the sample size becomes large as it is based on the optimization of a contrast
function whose pointwise computation requires O(n^2) operations. The range of
applicability of the method derived in this work is substantially larger as it
relies on a method-of-moments estimator free of tuning parameters whose
computation requires O(n) operations. From a theoretical perspective, the
asymptotic normality of both the estimator of the Euclidean parameter vector
and of the semiparametric estimator of the c.d.f.\ of the error is proved under
weak conditions not involving zero-symmetry assumptions. In addition, an
approximate confidence band for the c.d.f.\ of the error can be computed using
a weighted bootstrap whose asymptotic validity is proved. The finite-sample
performance of the resulting estimation procedure is studied under various
scenarios through Monte Carlo experiments. The proposed method is illustrated
on three real datasets of size , 51 and 176,343, respectively. Two
extensions of the considered model are discussed in the final section: a model
with an additional scale parameter for the first component, and a model with
more than one explanatory variable.Comment: 43 pages, 4 figures, 5 table
Fast and scalable Gaussian process modeling with applications to astronomical time series
The growing field of large-scale time domain astronomy requires methods for
probabilistic data analysis that are computationally tractable, even with large
datasets. Gaussian Processes are a popular class of models used for this
purpose but, since the computational cost scales, in general, as the cube of
the number of data points, their application has been limited to small
datasets. In this paper, we present a novel method for Gaussian Process
modeling in one-dimension where the computational requirements scale linearly
with the size of the dataset. We demonstrate the method by applying it to
simulated and real astronomical time series datasets. These demonstrations are
examples of probabilistic inference of stellar rotation periods, asteroseismic
oscillation spectra, and transiting planet parameters. The method exploits
structure in the problem when the covariance function is expressed as a mixture
of complex exponentials, without requiring evenly spaced observations or
uniform noise. This form of covariance arises naturally when the process is a
mixture of stochastically-driven damped harmonic oscillators -- providing a
physical motivation for and interpretation of this choice -- but we also
demonstrate that it can be a useful effective model in some other cases. We
present a mathematical description of the method and compare it to existing
scalable Gaussian Process methods. The method is fast and interpretable, with a
range of potential applications within astronomical data analysis and beyond.
We provide well-tested and documented open-source implementations of this
method in C++, Python, and Julia.Comment: Updated in response to referee. Submitted to the AAS Journals.
Comments (still) welcome. Code available: https://github.com/dfm/celerit
Kernel discriminant analysis and clustering with parsimonious Gaussian process models
This work presents a family of parsimonious Gaussian process models which
allow to build, from a finite sample, a model-based classifier in an infinite
dimensional space. The proposed parsimonious models are obtained by
constraining the eigen-decomposition of the Gaussian processes modeling each
class. This allows in particular to use non-linear mapping functions which
project the observations into infinite dimensional spaces. It is also
demonstrated that the building of the classifier can be directly done from the
observation space through a kernel function. The proposed classification method
is thus able to classify data of various types such as categorical data,
functional data or networks. Furthermore, it is possible to classify mixed data
by combining different kernels. The methodology is as well extended to the
unsupervised classification case. Experimental results on various data sets
demonstrate the effectiveness of the proposed method
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