Gaussian Mixture Regression model with logistic weights, a penalized maximum likelihood approach

Lucie Montuelle; Erwan Le Pennec; Serge Cohen

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arXiv · 1304.2696

Gaussian Mixture Regression model with logistic weights, a penalized maximum likelihood approach

Lucie Montuelle·Erwan Le Pennec·Serge Cohen

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Abstract

We wish to estimate conditional density using Gaussian Mixture Regression model with logistic weights and means depending on the covariate. We aim at selecting the number of components of this model as well as the other parameters by a penalized maximum likelihood approach. We provide a lower bound on penalty, proportional up to a logarithmic term to the dimension of each model, that ensures an oracle inequality for our estimator. Our theoretical analysis is supported by some numerical experiments.

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Lucie Montuelle, Erwan Le Pennec, Serge Cohen. 2013-04-09. Gaussian Mixture Regression model with logistic weights, a penalized maximum likelihood approach. https://arxiv.org/abs/1304.2696

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