Unsupervised selection and estimation of finite mixture models

We describe a new method for fitting mixture models to multivariate data which performs component selection and does not require external initialization. The novelty of our approach includes: an MML-like (minimum message length) model selection criterion; inclusion of the criterion into the expectation-maximization (EM) algorithm (increasing its ability to escape from local maxima); an initialization strategy supported on the interpretation of EM as a self-annealing algorithm.