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Eigenvalues and constraints in mixture modeling: geometric and computational issues


This paper presents a review about the usage of eigenvalues restrictions for constrained parameter estimation in mixtures of elliptical distributions according to the likelihood approach. The restrictions serve a twofold purpose: to avoid convergence to degenerate solutions and to reduce the onset of non interesting (spurious) local maximizers, related to complex likelihood surfaces. The paper shows how the constraints may play a key role in the theory of Euclidean data clustering. The aim here is to provide a reasoned survey of the constraints and their applications, considering the contributions of many authors and spanning the literature of the last 30 years.

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Correspondence to Salvatore Ingrassia.

Appendix: Proof of Theorem 4

Appendix: Proof of Theorem 4

To maximize \(\mathcal {L}(\mathbf {\psi })\) means to jointly maximize \(|\varvec{\varSigma }_g|^{-1/2}\) and to minimize the argument of the exponential, i.e., \((\mathbf {x}_n- \varvec{\mu }_g)' \varvec{\varSigma }_g^{-1}(\mathbf {x}_n- \varvec{\mu }_g)\), for each \(g=1,\ldots ,G\). Hence, firstly we will show that, for a given \(\varvec{\varSigma }_g\), the mean vector \(\varvec{\mu }_g\) has to lie in a compact subset in \(\mathbb {R}^d\). Let C be the convex hull of \(\mathcal {X}\), i.e., the intersection of all convex sets containing the N points, given by

$$\begin{aligned} C(\mathcal {X})=\left\{ \sum _{n=1}^N u_n \mathbf {x}_n \; | \; \sum _{n=1}^N u_n=1, u_n \ge 0\right\} . \end{aligned}$$

Suppose now that \(\bar{\mathbf {\psi }} \in \mathbf {\Psi }_{a,b}\) satisfies \(\bar{\varvec{\mu }}_g \notin C(\mathcal {X})\). Then \(\mathcal {L}(\bar{\mathbf {\psi }}) \le \mathcal {L}(\mathbf {\psi }^*)\) where \(\mathbf {\psi }^* \in \mathbf {\Psi }_{a,b}\) is obtained from \(\bar{\mathbf {\psi }}\) by changing the gth mean component to \(\varvec{\mu }_g=\alpha \bar{\varvec{\mu }}_g\) for some \(\alpha \in (0,1)\) (i.e., along the line joining \(\mathbf{0}\) and \(\bar{\varvec{\mu }}_g\)) such that \(\varvec{\mu }_g \in C(\mathcal {X})\).

Let us set \(S= \{ \mathbf {\psi }\in \mathbf {\Psi }_{a,b} \, | \, \varvec{\mu }_g\in C(\mathcal {X}); 0< a \le \lambda _i(\varvec{\varSigma }_g)\le b < + \infty \quad g=1, \ldots , G\}\). Then, it follows that

$$\begin{aligned} \sup _{\mathbf {\psi }\in \mathbf {\Psi }_{a,b}} \mathcal {L}(\mathbf {\psi }) = \sup _{\mathbf {\psi }\in S} \mathcal {L}(\mathbf {\psi }) . \end{aligned}$$

By the compactness of S and the continuity of \(\mathcal {L}(\mathbf {\psi })\), there exists a parameter \(\hat{\mathbf {\psi }}\in \mathbf {\Psi }_{a,b}\) satisfying

$$\begin{aligned} \mathcal {L}(\hat{\mathbf {\psi }}) =\sup _{\mathbf {\psi }\in \mathbf {\Psi }_{a,b}} \mathcal {L}(\mathbf {\psi })= \sup _{\mathbf {\psi }\in S} \mathcal {L}(\mathbf {\psi }) \end{aligned}$$

by Weierstrass’ theorem, see, e.g., Theorem 4.16 in Rudin (1976). \(\square \)

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García-Escudero, L.A., Gordaliza, A., Greselin, F. et al. Eigenvalues and constraints in mixture modeling: geometric and computational issues. Adv Data Anal Classif 12, 203–233 (2018).

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  • Mixture model
  • EM algorithm
  • Eigenvalues
  • Model-based clustering

Mathematics Subject Classification

  • 62F10 Point estimation
  • 62F12 Asymptotic properties of estimators
  • 62F30 Inference under constraints
  • 62F35 Robustness and adaptive procedures