Wed Jan 21 05:52:43 CST 2009
> I'm not sure what to use or where to find a statistical test, for the
> mixture versus unimodal distribution.
A simple method is to use the Bayesian Information Criterion if you want
to test a model with one against two Gaussian: you estimate the maximum
likelihood estimator for both models, and compare the BIC for both set
of parameters. It is often use at least in machine learning community to
'tweak' the number of Gaussian in your mixture. It is implemented in
Note that BIC is not really a statistical test per se, though, and that
it does not actually 'test' for unimodality (e.g. if you have an
unimodal but very skewed distribution, for example, BIC will most likely
tell you that the mixture with two components is 'best'). I don't know
much about non parametric testing, so don't have anything to say if the
data are significantly non Gaussian.
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