Accurate Bayesian Data Classification without Hyperparameter Cross-validation

28 Dec 2017  ·  M Sheikh, A. C. C. Coolen ·

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. read more

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