I have a stochastic process (a Markov chain actually) that has two absorbing states. I am using a difference equation to calculate the first passage time to either of the absorbing states. There are several parameters in the equation.
For set of parameters, the empirical cumulative distribution function looks like the following:
whose probability density function will only one peak. For another set of parameters, I will have:
whose PDF will be the superposition of "two distributions", meaning having two peaks.
My question is, is there a "reliable"/"good" algorithms/methods to infer the number of distributions, the statistics of each of the well (or not so well) separated distribution?