Penalized factor mixture analysis for variable selection in clustered data

@article{Galimberti2009PenalizedFM,
  title={Penalized factor mixture analysis for variable selection in clustered data},
  author={Giuliano Galimberti and Angela Montanari and Cinzia Viroli},
  journal={Computational Statistics & Data Analysis},
  year={2009},
  volume={53},
  pages={4301-4310}
}
A model-based clustering approach which contextually performs dimension reduction and variable selection is presented. Dimension reduction is achieved by assuming that the data have been generated by a linear factor model with latent variables modeled as Gaussianmixtures. Variable selection is performed by shrinking the factor loadings though a penalized likelihood method with an L1 penalty. A maximum likelihood estimation procedure via the EM algorithm is developed and a modified BIC criterion… CONTINUE READING

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