Antoine Godichon (LPSM, Sorbonne Université)
A robust model-based clustering based on the geometric median and the Median Covariation Matrix
Grouping observations into homogeneous groups is a recurrent task in statistical data analysis. We consider Gaussian Mixture Models, which are the most famous parametric model-based clustering method. We propose a new robust approach for model-based clustering, which consists in a modification of the EM algorithm (more specifically, the M-step) by replacing the estimates of the mean and the variance by robust versions based on the median and the median covariation matrix.
