What is it about?
Unlike the MLE (as obtained by the EM algorithm) the L2 estimator has a bounded influence function and performs in a stable manner when there may be contamination. Interestingly the L2 estimator is robust to potential outliers but outperforms the usual robust alternative which is the MLE of a mixture of t-distributions when the data are actually a mixture of normals. Indeed the L2 estimator is consistent and asymptotically normal since the estimator found from the L2 estimating equations is an M-estimator with a bounded and continuous psi function meaning, with some other conditions that are satified,that there is a weakly consitent and Frechet differentiable root to the M-estimating equations.
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Why is it important?
The L2 estimator has all the hallmarks of a robust and efficient estimator when the component distributions are difficult to distinguish, which is exactly when you want to estimate the parameters well. Why should you use a mixture of t-distributions when in fact the data are from a mixture of normals. Using a mixture of t-distributions would give potentially robust estimates but inconsistent estimates when the data are actually normal.
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This page is a summary of: A comparison of the $$L_2$$ L 2 minimum distance estimator and the EM-algorithm when fitting $${\varvec{{k}}}$$ k -component univariate normal mixtures, Statistical Papers, February 2016, Springer Science + Business Media,
DOI: 10.1007/s00362-016-0747-x.
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