Consistency of minimizing a penalized density power divergence estimator for mixing distribution

摘要

In this paper, we study the MDPDE (minimizing a density power divergence estimator), proposed by Basu et al. (Biometrika 85:549-559, 1998), for mixing distributions whose component densities are members of some known parametric family. As with the ordinary MDPDE, we also consider a penalized version of the estimator, and show that they are consistent in the sense of weak convergence. A simulation result is provided to illustrate the robustness. Finally, we apply the penalized method to analyzing the red blood cell SLC data presented in Roeder (J Am Stat Assoc 89:487-495, 1994).