Flexible High-Dimensional Unsupervised Learning with Missing Data

The mixture of factor analyzers (MFA) model is a famous mixture model-based approach for unsupervised learning with high-dimensional data. It can be useful, inter alia, in situations where the data dimensionality far exceeds the number of observations. In recent years, the MFA model has been extended to non-Gaussian mixtures to account for clusters with heavier tail weight and/or asymmetry. The generalized hyperbolic factor analyzers (MGHFA) …