Practical Testing for Normal Mixtures

Jin Seo Cho ()

No 2025rwp-248, Working papers from Yonsei University, Yonsei Economics Research Institute

Abstract: The current study provides the Gaussian versions used to test for normal mixtures. These versions are highly practical as they can directly be used to simulate the asymptotic critical values of standard tests, for example the likelihood-ratio or Lagrange multiplier tests. We investigate testing for two normal mixtures: one having a single variance and two distinct means, and another having a single mean and two different variances. We derive the Gaussian versions for the two models by associating the score functions with the Hermite and generalized Laguerre polynomials, respectively. Additionally, we compare the performance of the likelihood-ratio and Lagrange multiplier tests using the asymptotic critical values.

Keywords: Gaussian version; LR test; LM test; Hermite polynomial; Generalized Laguerre polynomial. (search for similar items in EconPapers)
JEL-codes: C12 C46 (search for similar items in EconPapers)
Pages: 18pages
Date: 2025-06
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:yon:wpaper:2025rwp-248

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