Penalized Model-Based Clustering with Application to Variable Selection
Wei Pan, Xiaotong Shen.
Year: 2007, Volume: 8, Issue: 41, Pages: 1145−1164
Abstract
Variable selection in clustering analysis is both challenging and important. In the context of model-based clustering analysis with a common diagonal covariance matrix, which is especially suitable for "high dimension, low sample size" settings, we propose a penalized likelihood approach with an L1 penalty function, automatically realizing variable selection via thresholding and delivering a sparse solution. We derive an EM algorithm to fit our proposed model, and propose a modified BIC as a model selection criterion to choose the number of components and the penalization parameter. A simulation study and an application to gene function prediction with gene expression profiles demonstrate the utility of our method.