[R] Help finding the proper function

[Rolf Turner]

On 24/10/2008, at 1:37 AM, Tom.O wrote:

>
> Ok, I'll try to be clearer.  I'll start from the beginning. I have  
> a set of
> samples that I'm going to use to model a proxy for a common  
> property. This
> property is that the samples are either in a "quiet" or "chaotic"  
> state.
> Both the quiet and chaotic state is modelled to be normal  
> distributed. So
> these samples are believed to be from a mixture of univariate normal
> distributions. But some samples do not have this property and are  
> believed
> only to come from a "quiet" state and is believed to be from a  
> univariate
> normal distribution.
>
>
> What I also know or assume to know is that when the samples that  
> are drawn
> from a mixture distribution change between distributions they do that
> simultaneously or near simultaneously. So each sample have a  
> probability "p"
> of being in either state. But since some samples are from a univariate
> distribution and some of the samples that are from a mixture  
> distribution
> don’t show a clear change they are no good at estimating the overall
> probability of being in the "quiet" or "chaotic" state.
>
> What I'm looking for is the combination of samples that would give  
> med the
> best proxy to model the overall state, some sort of optimizer.
>
>
> So hopefully this clarifies my problem.

Yes it does.  Bivariate has nothing to do with your problem.  Mixtures
has everything to do with it.

Essentially your problem is testing k=2 versus k=1 where k is the number
of components in the model.  I believe there is a substantial literature
about this; you could start with G. J. McLachlan and K. E. Basford  
``Mixture
Models:  Inference and Applications to Clustering'', Dekker, New  
York, 1988.

I believe that the story is roughly that the test you want can be  
carried
out via a likelihood ratio test, but that the null distribution of  
the test
statistic is problematic.  It is ***not*** asymptotically chi-squared.
As far as I know the actual null distribution is impossible to determine
analytically, hence one is left with a single option:  Bootstrapping.

The mixtools package on CRAN may provide the facilities you need;  
there are
other packages on CRAN which relate to mixtures.  In particular look at
Peter MacDonald's mixdist package.  I would conjecture (I haven't  
looked)
that the latter package would provide useful pointers to the literature,
including Peter's own substantial contributions.

HTH

	cheers,

		Rolf Turner
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