On the properties of Gaussian Copula Mixture Models

05/02/2023

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by   Ke Wan, et al.

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Gaussian copula mixture models (GCMM) are the generalization of Gaussian Mixture models using the concept of copula. Its mathematical definition is given and the properties of likelihood function are studied in this paper. Based on these properties, extended Expectation Maximum algorithms are developed for estimating parameters for the mixture of copulas while marginal distributions corresponding to each component is estimated using separate nonparametric statistical methods. In the experiment, GCMM can achieve better goodness-of-fitting given the same number of clusters as GMM; furthermore, GCMM can utilize unsynchronized data on each dimension to achieve deeper mining of data.