Non-asymptotic detection of two-component mixtures with unknown means

Abstract

This work is concerned with the detection of a mixture distribution from a $\mathbb{R}$-valued sample. Given a sample $X_1,\dots,X_n$ and an even density $\phi$, our aim is to detect whether the sample distribution is $\phi(\cdot-\mu)$ for some unknown mean $\mu$, or is defined as a two-component mixture based on translations of $\phi$. We propose a procedure which is based on several spacings of the order statistics, which provides a level-$\alpha$ test for all $n$. Our test is therefore a multiple testing procedure and we prove from a theoretical and practical point of view that it automatically adapts to the proportion of the mixture and to the difference of the means of the two components of the mixture under the alternative. From a theoretical point of view, we prove the optimality of the power of our procedure in various situations. A simulation study shows the good performances of our test compared with several classical procedures.