A nonparametric variable clustering model

Factor analysis models effectively summarise the covariance structure of high dimensional data, but the solutions are typically hard to interpret. This motivates attempting to find a disjoint partition, i.e. a simple clustering, of observed variables into highly correlated subsets. We introduce a Bayesian non-parametric approach to this problem, and demonstrate advantages over heuristic methods proposed to date. Our Dirichlet process variable clustering (DPVC) model can discover blockdiagonal covariance structures in data. We evaluate our method on both synthetic and gene expression analysis problems.