Mixed data in Gaussian Mixture Models Is it possible to use a dataset with mixed variables such as continuous, ordered, and categorical variables and cluster the data using the Gaussian Mixed Model with EM algorithm. I cannot find anywhere if this is possible. Apologies if this seems like a obvious question but I cannot seem to find the answer online?
Thanks  
 A: Gaussian is defined on a continuous variable. If we have more than one (continuous) features, we can model data as a N dimensional Gaussian.
For data mixed with continuous and discrete features. We still need a way to describe the joint. For example, suppose we have two features $X$ and $Y$, we assume $X\sim \mathcal{N}(\mu,\,\sigma^{2})$. $Y \sim \text{Bernoulli}(p)$, we still need way to define the joint $P(X,Y)$.
So the answer to your question is we can use directed graphical model on mixed data, but Gaussian is still on continuous variables.
You can find examples here.
https://www.cs.ubc.ca/~murphyk/Bayes/bnintro.html
A: The most straightforward technique you can try is a one-hot encoding in order to convert your discrete features into numeric ones. However, be aware that this will increase your dimensionality, so it may be more difficult to get higher performance. It's also not quite appropriate since Gaussians are better suited for continuous variables.
If these discrete features are truly important, then I agree with @hxd1011 that you'll need to represent those features separately from the continuous ones, then combine them in the joint.
One way to do this is to consider a "blocking" scheme, where you split your data into groups for every combination of discrete variables. For instance, if you only have two binary variables $A,B$ and the rest of the continuous features are in $X$, then you can split your data into 4 groups: $P(X|A=1,B=1), P(X|A=1,B=0), P(X|A=0,B=1), P(X|A=0,B=0)$. Of course, you'll still need to model the distributions of $A,B$ with what you see fit. After, you can combine them to form the joint:
$$
P(X,A,B) = P(X|A,B)P(A,B)
$$
This way, you can model each of the four group with a GMM if you want, and the categorical features with some other discrete distribution. Note this requires you have a sufficient number of points for each group.
