Accurate Bayesian Data Classification without Hyperparameter Cross-validation

M Sheikh; A C C Coolen

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arXiv · 1712.09813

Accurate Bayesian Data Classification without Hyperparameter Cross-validation

M Sheikh·A C C Coolen

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Abstract

We extend the standard Bayesian multivariate Gaussian generative data classifier by considering a generalization of the conjugate, normal-Wishart prior distribution and by deriving the hyperparameters analytically via evidence maximization. The behaviour of the optimal hyperparameters is explored in the high-dimensional data regime. The classification accuracy of the resulting generalized model is competitive with state-of-the art Bayesian discriminant analysis methods, but without the usual computational burden of cross-validation.

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M Sheikh, A C C Coolen. 2017-12-28. Accurate Bayesian Data Classification without Hyperparameter Cross-validation. https://arxiv.org/abs/1712.09813

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