Robust estimation under multivariate normal (MVN) mixture model is always a computational challenge. A recently proposed maximum pseudo \b{eta}-likelihood estimator aims to estimate the unknown parameters of a MVN mixture model in the spirit of minimum density power divergence (DPD) methodology but with a relatively simpler and tractable computational algorithm even for larger dimensions. In this letter, we will rigorously derive the existence and weak consistency of the maximum pseudo \b{eta}-likelihood estimator in case of MVN mixture models under a reasonable set of assumptions.
翻译:在多元正态(MVN)混合模型下进行稳健估计始终是一项计算挑战。最近提出的一种最大伪β-似然估计量,旨在以最小密度幂散度(DPD)方法为精神,估计MVN混合模型中的未知参数,同时即使在较高维数下也能采用相对简单且易于处理的计算算法。在本文中,我们将在一组合理假设条件下,严格推导MVN混合模型中最大伪β-似然估计量的存在性与弱一致性。