Where is the likelihood ratio test powerful for detecting two component normal mixtures?

We compare the power of the likelihood ratio test, the Engelman-Hartigan test, two outlier tests, four goodness-of-fit tests, and eight tests of normality to detect a mixture consisting of two components that are normally distributed with different means but equal variances. We consider the entire range of mixing proportions pi, 0 < pi < 1. For pi > .85 or pi < .15, overall Fisher's skewness statistic is best with Filliben's probability plot correlation coefficient test somewhat less powerful. A combined skewness and kurtosis test, the Anderson-Darling test, and the likelihood ratio test are also competitive. For .35 < pi < .65, the Engelman-Hartigan test is best. For other mixing proportions, the likelihood ratio test is best. For situations in which the preferred test had power 50% or more, the power of the likelihood ratio test is also above 50% and within 15 percentage points of the preferred test.

[1]  R. Geary THE RATIO OF THE MEAN DEVIATION TO THE STANDARD DEVIATION AS A TEST OF NORMALITY , 1935 .

[2]  F. E. Grubbs Sample Criteria for Testing Outlying Observations , 1950 .

[3]  W. J. Dixon,et al.  Analysis of Extreme Values , 1950 .

[4]  W. J. Dixon,et al.  Ratios Involving Extreme Values , 1951 .

[5]  D. Darling,et al.  A Test of Goodness of Fit , 1954 .

[6]  Thomas S. Ferguson,et al.  On the Rejection of Outliers , 1961 .

[7]  G. Box An analysis of transformations (with discussion) , 1964 .

[8]  S. Shapiro,et al.  An Analysis of Variance Test for Normality (Complete Samples) , 1965 .

[9]  H. Lilliefors On the Kolmogorov-Smirnov Test for Normality with Mean and Variance Unknown , 1967 .

[10]  H. Riedwyl Goodness of Fit , 1967 .

[11]  S. Shapiro,et al.  A Comparative Study of Various Tests for Normality , 1968 .

[12]  J. Hartigan,et al.  Percentage Points of a Test for Clusters , 1969 .

[13]  F. E. Grubbs Procedures for Detecting Outlying Observations in Samples , 1969 .

[14]  R. D'Agostino Transformation to normality of the null distribution of g1 , 1970 .

[15]  S. Shapiro,et al.  An Approximate Analysis of Variance Test for Normality , 1972 .

[16]  D. Levy,et al.  Eye-tracking dysfunctions in schizophrenic patients and their relatives. , 1974, Archives of general psychiatry.

[17]  R C Elston,et al.  Studies on blood and urine glucose in Seminole Indians: indications for segregation of a major gene. , 1974, American journal of human genetics.

[18]  J. Filliben The Probability Plot Correlation Coefficient Test for Normality , 1975 .

[19]  N E Morton,et al.  Skewness in commingled distributions. , 1976, Biometrics.

[20]  N. Mendell,et al.  Statistical methods for evaluating responses in HLA-D typing. , 1977, Transplantation proceedings.

[21]  M. Aitkin,et al.  Mixture Models, Outliers, and the EM Algorithm , 1980 .

[22]  B. Everitt A Monte Carlo Investigation Of The Likelihood Ratio Test For The Number Of Components In A Mixture Of Normal Distributions. , 1981, Multivariate behavioral research.

[23]  F. J. Anscombe,et al.  Distribution of the Kurtosis Statistic b2 for Normal Samples. , 1983 .

[24]  D. Levy,et al.  Mixture distributions in psychiatric research. , 1984, Biological psychiatry.

[25]  A. F. Smith,et al.  Statistical analysis of finite mixture distributions , 1986 .

[26]  G. McLachlan On Bootstrapping the Likelihood Ratio Test Statistic for the Number of Components in a Normal Mixture , 1987 .

[27]  N. Mendell,et al.  Simulated percentage points for the null distribution of the likelihood ratio test for a mixture of two normals. , 1988, Biometrics.

[28]  Nicholas J. Schork,et al.  Skewness and mixtures of normal distributions , 1988 .

[29]  H C Thode,et al.  The likelihood ratio test for the two-component normal mixture problem: power and sample size analysis. , 1991, Biometrics.

[30]  P. Royston Tests for Departure from Normality , 1992 .