Stochastic approximation learning for mixtures of multivariate elliptical distributions

  • Authors:
  • Ezequiel LóPez-Rubio

  • Affiliations:
  • Department of Computer Languages and Computer Science, University of Málaga, Bulevar Louis Pasteur, 35, 29071 Málaga, Spain

  • Venue:
  • Neurocomputing
  • Year:
  • 2011

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Abstract

Most of the current approaches to mixture modeling consider mixture components from a few families of probability distributions, in particular from the Gaussian family. The reasons of these preferences can be traced to their training algorithms, typically versions of the Expectation-Maximization (EM) method. The re-estimation equations needed by this method become very complex as the mixture components depart from the simplest cases. Here we propose to use a stochastic approximation method for probabilistic mixture learning. Under this method it is straightforward to train mixtures composed by a wide range of mixture components from different families. Hence, it is a flexible alternative for mixture learning. Experimental results are presented to show the probability density and missing value estimation capabilities of our proposal.