Confidence set for mixture order selection

A fundamental challenge in approximating an unknown density using finite Gaussian mixture models is selecting the number of mixture components, also known as order. Traditional approaches choose a single best model using information criteria. However, often models with different orders yield similar fits, leading to substantial model selection uncertainty and making it challenging to identify the optimal number of components. In this paper, we introduce the Model Selection Confidence Set (MSCS) for order selection in Gaussian mixtures - a set-valued estimator that, with a predefined confidence level, includes the true mixture order across repeated samples. Rather than selecting a single model, our MSCS identifies all plausible orders by determining whether each candidate model is at least as plausible as the best-selected one, using a screening based on a penalized likelihood ratio statistic. We provide theoretical guarantees for asymptotic coverage, and demonstrate its practical advantages through simulations and real data analysis.

Publication Details

Journal
ArXiv.org
Published
2025-03-24
Primary Topic
Bayesian Methods and Mixture Models
Type
article
Field-Weighted Citation Impact
0.00
Controls
|||
ALL TIME
JAN
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
OCT
article

Confidence set for mixture order selection

ArXiv.org
Bayesian Methods and Mixture Models
article

Confidence set for mixture order selection

article en

Abstract

A fundamental challenge in approximating an unknown density using finite Gaussian mixture models is selecting the number of mixture components, also known as order. Traditional approaches choose a single best model using information criteria. However, often models with different orders yield similar fits, leading to substantial model selection uncertainty and making it challenging to identify the optimal number of components. In this paper, we introduce the Model Selection Confidence Set (MSCS) for order selection in Gaussian mixtures - a set-valued estimator that, with a predefined confidence level, includes the true mixture order across repeated samples. Rather than selecting a single model, our MSCS identifies all plausible orders by determining whether each candidate model is at least as plausible as the best-selected one, using a screening based on a penalized likelihood ratio statistic. We provide theoretical guarantees for asymptotic coverage, and demonstrate its practical advantages through simulations and real data analysis.

ArXiv.org
Openalex Percentile: Top 73%
Bayesian Methods and Mixture Models
AI Navigator

Ask Laika to Summarize, Analyze, and Connect papers live on the map.

Summarize Papers & Methodologies

Extract key findings, datasets, and comparative methods across publications.

Benchmark Rankings & Visual Analytics

Rank top research institutions, authors, funders, topics, and journals by Field-Weighted Citation Impact (FWCI) and paper volume with instant charts.

Connect Distant Disciplines

Bridge topological clusters on the map to find hidden collaborative intersections.

Confidence set for mixture order selection · ArXiv.org (2025) | TGRS Research Map | TGRS