On robust probabilistic principal component analysis using multivariate t-distributions

Probabilistic principal component analysis (PPCA) is a probabilistic reformulation of principal component analysis (PCA), under the framework of a Gaussian latent variable model. To improve the robustness of PPCA, it has been proposed to change the underlying Gaussian distributions to multivariate t-distributions. Based on the representation of t-distribution as a scale mixture of Gaussian distributions, a hierarchical model is used for implementation. However, in the existing literature, the hierarchical model implemented does not yield the equivalent interpretation. In this paper, we present two sets of equivalent relationships between the high-level multivariate t-PPCA framework and the hierarchical model used for implementation. In doing so, we clarify a current misrepresentation in the literature, by specifying the correct correspondence. In addition, we discuss the performance of different multivariate t robust PPCA methods both in theory and simulation studies, and propose a new Monte Carlo expectation-maximization (MCEM) algorithm to implement one general type of such models.

Automated summary

This paper explores the application of multivariate t-distributions in probabilistic principal component analysis (PPCA) and provides a reexamination of some errors in the existing literature. Additionally, a new Monte Carlo expectation-maximization (MCEM) algorithm is introduced to implement a general type of such models.