  The robust improper maximum likelihood estimator (RIMLE) is a new method for
robust multivariate clustering finding approximately Gaussian clusters. It
maximizes a pseudo-likelihood defined by adding a component with improper
constant density for accommodating outliers to a Gaussian mixture. A special
case of the RIMLE is MLE for multivariate finite Gaussian mixture models. In
this paper we treat existence, consistency, and breakdown theory for the RIMLE
comprehensively. RIMLE's existence is proved under non-smooth covariance matrix
constraints. It is shown that these can be implemented via a computationally
feasible Expectation-Conditional Maximization algorithm.
