EM in high-dimensional spaces.

Abstract

This paper considers fitting a mixture of Gaussians model to high-dimensional data in scenarios where there are fewer data samples than feature dimensions. Issues that arise when using principal component analysis (PCA) to represent Gaussian distributions inside Expectation-Maximization (EM) are addressed, and a practical algorithm results. Unlike other algorithms that have been proposed, this algorithm does not try to compress the data to fit low-dimensional models. Instead, it models Gaussian distributions in the (N - 1)-dimensional space spanned by the N data samples. We are able to show that this algorithm converges on data sets where low-dimensional techniques do not.