Robust improper maximum likelihood: tuning, computation, and a comparison with other methods for robust Gaussian clustering

TL;DR

This paper introduces the OTRIMLE, a robust Gaussian clustering method that uses an improper density for outliers, and compares its performance with other clustering techniques through extensive simulations and real data applications.

Contribution

The paper presents the OTRIMLE, a novel robust clustering estimator that optimally tunes the improper density for improved outlier handling and compares it comprehensively with existing methods.

Findings

OTRIMLE achieves the most satisfactory overall performance in simulations.

All methods perform best in some setups, but OTRIMLE is most consistent.

The approach is effective on real datasets with and without known clusters.

Abstract

The two main topics of this paper are the introduction of the "optimally tuned improper maximum likelihood estimator" (OTRIMLE) for robust clustering based on the multivariate Gaussian model for clusters, and a comprehensive simulation study comparing the OTRIMLE to Maximum Likelihood in Gaussian mixtures with and without noise component, mixtures of t-distributions, and the TCLUST approach for trimmed clustering. The OTRIMLE uses an improper constant density for modelling outliers and noise. This can be chosen optimally so that the non-noise part of the data looks as close to a Gaussian mixture as possible. Some deviation from Gaussianity can be traded in for lowering the estimated noise proportion. Covariance matrix constraints and computation of the OTRIMLE are also treated. In the simulation study, all methods are confronted with setups in which their model assumptions are not exactly fulfilled, and in order to evaluate the experiments in a standardized way by misclassification rates, a new model-based definition of "true clusters" is introduced that deviates from the usual identification of mixture components with clusters. In the study, every method turns out to be superior for one or more setups, but the OTRIMLE achieves the most satisfactory overall performance. The methods are also applied to two real datasets, one without and one with known "true" clusters.