Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Authors: Anders Ellern Bilgrau, Poul Svante Eriksen, Jakob Gulddahl Rasmussen, Hans Erik Johnsen, Karen Dybkaer, Martin Boegsted
Title: GMCM: Unsupervised Clustering and Meta-Analysis Using Gaussian Mixture Copula Models
Abstract: Methods for clustering in unsupervised learning are an important part of the statistical toolbox in numerous scientific disciplines. Tewari, Giering, and Raghunathan (2011) proposed to use so-called Gaussian mixture copula models (GMCM) for general unsupervised learning based on clustering. Li, Brown, Huang, and Bickel (2011) independently discussed a special case of these GMCMs as a novel approach to meta-analysis in highdimensional settings. GMCMs have attractive properties which make them highly flexible and therefore interesting alternatives to other well-established methods. However, parameter estimation is hard because of intrinsic identifiability issues and intractable likelihood functions. Both aforementioned papers discuss similar expectation-maximization-like algorithms as their pseudo maximum likelihood estimation procedure. We present and discuss an improved implementation in R of both classes of GMCMs along with various alternative optimization routines to the EM algorithm. The software is freely available in the R package GMCM. The implementation is fast, general, and optimized for very large numbers of observations. We demonstrate the use of package GMCM through different applications.

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Paper: GMCM: Unsupervised Clustering and Meta-Analysis Using Gaussian Mixture Copula Models     Download PDF (Downloads: 1452)
GMCM_1.2.3.tar.gz: R source package Download (Downloads: 130; 2MB)
v70i02.R: R replication code Download (Downloads: 227; 44KB)

DOI: 10.18637/jss.v070.i02

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.