High breakdown mixture discriminant analysis

  • Authors:
  • Shaheena Bashir;E. M. Carter

  • Affiliations:
  • Department of Mathematics and Statistics, University of Guelph, Guelph, Ont., Canada N1G 2WI;Department of Mathematics and Statistics, University of Guelph, Guelph, Ont., Canada N1G 2WI

  • Venue:
  • Journal of Multivariate Analysis
  • Year:
  • 2005

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Abstract

Robust S-estimation is proposed for multivariate Gaussian mixture models generalizing the work of Hastie and Tibshirani (J. Roy. Statist. Soc. Ser. B 58 (1996) 155). In the case of Gaussian Mixture models, the unknown location and scale parameters are estimated by the EM algorithm. In the presence of outliers, the maximum likelihood estimators of the unknown parameters are affected, resulting in the misclassification of the observations. The robust S-estimators of the unknown parameters replace the non-robust estimators from M-step of the EM algorithm. The results were compared with the standard mixture discriminant analysis approach using the probability of misclassification criterion. This comparison showed a slight reduction in the average probability of misclassification using robust S-estimators as compared to the standard maximum likelihood estimators.