An efficient ECM algorithm for maximum likelihood estimation in mixtures of t-factor analyzers

Wan Lun Wang, Tsung I. Lin

Research output: Contribution to journalArticlepeer-review

21 Citations (Scopus)

Abstract

Mixture of t factor analyzers (MtFA) have been shown to be a sound model-based tool for robust clustering of high-dimensional data. This approach, which is deemed to be one of natural parametric extensions with respect to normal-theory models, allows for accommodation of potential noise components, atypical observations or data with longer-than-normal tails. In this paper, we propose an efficient expectation conditional maximization (ECM) algorithm for fast maximum likelihood estimation of MtFA. The proposed algorithm inherits all appealing properties of the ordinary EM algorithm such as its stability and monotonicity, but has a faster convergence rate since its CM steps are governed by a much smaller fraction of missing information. Numerical experiments based on simulated and real data show that the new procedure outperforms the commonly used EM and AECM algorithms substantially in most of the situations, regardless of how the convergence speed is assessed by the computing time or number of iterations.

Original languageEnglish
Pages (from-to)751-769
Number of pages19
JournalComputational Statistics
Volume28
Issue number2
DOIs
Publication statusPublished - 2013 Apr

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Computational Mathematics

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