Accurate Bayesian Data Classification Without Hyperparameter Cross-Validation
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We extend the standard Bayesian multivariate Gaussian generative data classifier by considering a generalization of the conjugate, normal-Wishart prior distribution, and by deriving the hyperparameters analytically via evidence maximization. The behaviour of the optimal hyperparameters is explored in the high-dimensional data regime. The classification accuracy of the resulting generalized model is competitive with state-of-the art Bayesian discriminant analysis methods, but without the usual computational burden of cross-validation.
KeywordsHyperparameters Evidence maximization Bayesian classification High-dimensional data
This work was supported by the Biotechnology and Biological Sciences Research Council (UK) and by GlaxoSmithKline Research and Development Ltd. Many thanks to James Barrett for his support.
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