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Clustering with the Multivariate Normal Inverse Gaussian Distribution.

Authors: 

Adrian O'Hagan, Brendan Murphy, Claire Gormley, Paul McNicholas, Dimitris Karlis

Publication Type: 
Refereed Original Article
Abstract: 
Many model-based clustering methods are based on a nite Gaussian mixture model. The Gaussian mixture model implies that the data scatter within each group is el- liptically shaped. Hence non-elliptical groups are often modeled by more than one component, resulting in model over-tting. An alternative is to use a mean-variance mixture of multivariate normal distributions with an inverse Gaussian mixing distri- bution (MNIG) in place of the Gaussian distribution, to yield a more exible fam- ily of distributions. Under this model the component distributions may be skewed and have fatter tails than the Gaussian distribution. The MNIG based approach is extended to include a broad range of eigen-decomposed covariance structures. Fur- thermore, MNIG models where the other distributional parameters are constrained is considered. The Bayesian Information Criterion is used to identify the optimal model and number of mixture components. The method is demonstrated on three sample data sets and a novel variation on the univariate Kolmogorov-Smirnov test is used to assess goodness of t.
Digital Object Identifer (DOI): 
10.1016/j.csda.2014.09.006
Publication Status: 
Published
Publication Date: 
19/09/2014
Journal: 
Computational Statistics and Data Analysis
Institution: 
National University of Ireland, Dublin (UCD)
Open access repository: 
Yes
Publication document: