Maximum likelihood estimation of mixtures of factor analyzers
Mixtures of factor analyzers have been receiving wide interest in statistics as a tool for performing clustering and dimension reduction simultaneously. In this model it is assumed that, within each component, the data are generated according to a factor model. Therefore, the number of parameters on which the covariance matrices depend is reduced. Several estimation methods have been proposed for this model, both in the classical and in the Bayesian framework. However, so far, a direct maximum likelihood procedure has not been developed. This direct estimation problem, which simultaneously allows one to derive the information matrix for the mixtures of factor analyzers, is solved. The effectiveness of the proposed procedure is shown on a simulation study and on a toy example.
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- Boldea, Otilia & Magnus, Jan R., 2009.
"Maximum Likelihood Estimation of the Multivariate Normal Mixture Model,"
23149, University Library of Munich, Germany.
- Boldea, Otilia & Magnus, Jan R., 2009. "Maximum Likelihood Estimation of the Multivariate Normal Mixture Model," Journal of the American Statistical Association, American Statistical Association, vol. 104(488), pages 1539-1549.
- Boldea, O. & Magnus, J.R., 2009. "Maximum likelihood estimation of the multivariate normal mixture model," Other publications TiSEM c5d9a58c-6bc2-4098-bfed-d, Tilburg University, School of Economics and Management.
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- Zhou, Xingcai & Liu, Xinsheng, 2008. "The EM algorithm for the extended finite mixture of the factor analyzers model," Computational Statistics & Data Analysis, Elsevier, vol. 52(8), pages 3939-3953, April.
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