A Data Science Central Community

In this data science article, emphasis is placed on *science*, not just on data. State-of-the art material is presented in simple English, from multiple perspectives: applications, theoretical research asking more questions than it answers, scientific computing, machine learning, and algorithms. I attempt here to lay the foundations of a new statistical technology, hoping that it will plant the seeds for further research on a topic with a broad range of potential applications. It is based on mixture models. Mixtures have been studied and used in applications for a long time, and it is still a subject of active research. Yet you will find here plenty of new material.

**Introduction and Context**

In a previous article (see here) I attempted to approximate a random variable representing real data, by a weighted sum of simple *kernels* such as uniformly and independently, identically distributed random variables. The purpose was to build Taylor-like series approximations to more complex models (each term in the series being a random variable), to

- avoid over-fitting,
- approximate any empirical distribution (the inverse of the percentiles function) attached to real data,
- easily compute data-driven confidence intervals regardless of the underlying distribution,
- derive simple tests of hypothesis,
- perform model reduction,
- optimize data binning to facilitate feature selection, and to improve visualizations of histograms
- create perfect histograms,
- build simple density estimators,
- perform interpolations, extrapolations, or predictive analytics,
- perform clustering and detect the number of clusters,
- create deep learning Bayesian systems.

Why I've found very interesting properties about stable distributions during this research project, I could not come up with a solution to solve all these problems. The fact is that these weighed sums would usually converge (in distribution) to a normal distribution if the weights did not decay too fast -- a consequence of the central limit theorem. And even if using uniform kernels (as opposed to Gaussian ones) with fast-decaying weights, it would converge to an almost symmetrical, Gaussian-like distribution. In short, very few real-life data sets could be approximated by this type of model.

Now, in this article, I offer a full solution, using mixtures rather than sums. The possibilities are endless.

**Content of this article**

**1. Introduction and Context**

**2. Approximations Using Mixture Models**

- The error term
- Kernels and model parameters
- Algorithms to find the optimum parameters
- Convergence and uniqueness of solution
- Find near-optimum with fast, black-box step-wise algorithm

**3. Example**

- Data and source code
- Results

**4. Applications**

- Optimal binning
- Predictive analytics
- Test of hypothesis and confidence intervals
- Deep learning: Bayesian decision trees
- Clustering

**5. Interesting problems**

- Gaussian mixtures uniquely characterize a broad class of distributions
- Weighted sums fail to achieve what mixture models do
- Stable mixtures
- Nested mixtures and Hierarchical Bayesian Systems
- Correlations

Read full article here.

© 2020 TechTarget, Inc. Powered by

Badges | Report an Issue | Privacy Policy | Terms of Service

**Most Popular Content on DSC**

To not miss this type of content in the future, subscribe to our newsletter.

- Book: Applied Stochastic Processes
- Long-range Correlations in Time Series: Modeling, Testing, Case Study
- How to Automatically Determine the Number of Clusters in your Data
- New Machine Learning Cheat Sheet | Old one
- Confidence Intervals Without Pain - With Resampling
- Advanced Machine Learning with Basic Excel
- New Perspectives on Statistical Distributions and Deep Learning
- Fascinating New Results in the Theory of Randomness
- Fast Combinatorial Feature Selection

**Other popular resources**

- Comprehensive Repository of Data Science and ML Resources
- Statistical Concepts Explained in Simple English
- Machine Learning Concepts Explained in One Picture
- 100 Data Science Interview Questions and Answers
- Cheat Sheets | Curated Articles | Search | Jobs | Courses
- Post a Blog | Forum Questions | Books | Salaries | News

**Archives:** 2008-2014 |
2015-2016 |
2017-2019 |
Book 1 |
Book 2 |
More

**Most popular articles**

- Free Book and Resources for DSC Members
- New Perspectives on Statistical Distributions and Deep Learning
- Time series, Growth Modeling and Data Science Wizardy
- Statistical Concepts Explained in Simple English
- Machine Learning Concepts Explained in One Picture
- Comprehensive Repository of Data Science and ML Resources
- Advanced Machine Learning with Basic Excel
- Difference between ML, Data Science, AI, Deep Learning, and Statistics
- Selected Business Analytics, Data Science and ML articles
- How to Automatically Determine the Number of Clusters in your Data
- Fascinating New Results in the Theory of Randomness
- Hire a Data Scientist | Search DSC | Find a Job
- Post a Blog | Forum Questions

## You need to be a member of AnalyticBridge to add comments!

Join AnalyticBridge