Robust estimation of a normal mixture

Richard D. De Veaux and Abba M. Krieger

Statistics & Probability Letters, 1990, vol. 10, issue 1, 1-7

Abstract: A robust procedure for estimating the five parameters of a mixture of two normals is proposed. The procedure is based on a robustification of the steps of the EM algorithm. This results in the use of an iteratively reweighted median and MAD. Simulation results are presented that show the superiority of the robustified EM when compared to the usual EM algorithm estimates.

Keywords: Iteratively; reweighted; median; iteratively; reweighted; MAD; EM; algorithm; maximum; likelihood; estimation (search for similar items in EconPapers)
Date: 1990
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