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We propose a hierarchical Bayesian nonparametric mixture model for clustering when some of the covariates are assumed to be of varying relevance to the clustering problem. This can be thought of as an issue in variable selection for unsupervised learning. We demonstrate that by defining a hierarchical population based nonparametric prior on the cluster locations scaled by the inverse covariance matrices of the likelihood we arrive at a 'sparsity prior' representation which admits a conditionally conjugate prior. This allows us to perform full Gibbs sampling to obtain posterior distributions over parameters of interest including an explicit measure of each covariate's relevance and a distribution over the number of potential clusters present in the data. This also allows for individual cluster specific variable selection. We demonstrate improved inference on a number of canonical problems.

Original publication

DOI

10.1214/11-ba612

Type

Journal article

Journal

Bayesian analysis

Publication Date

07/2011

Volume

6

Pages

329 - 352

Addresses

Department of Statistics, University of Oxford, Oxford, U.K., yau@stats.ox.ac.uk.