I have estimated the parameters of normal distribution with GMM and got the following results:
$mean = -0.01168 , p-value = 0.83519, Sd = 1.77 , p-value = 0.00000.$
I'm bit confused in interpreting the result. Can I say that the mean is zero as it is not statistically significant and how can I interpret the result of Sd parameter?
thanks
What do you mean by GMM here? Generalized method of moments*? Gaussian mixture models? Or are you referring to some package?
*(isn't that effectively just MLE at the normal, perhaps including a scaling term for bias in the case of the variance)
It is difficult to tell exactly what tests are being applied, especially in the second case.
Much more information is required to give good answers.
A non-significant test for the mean doesn't imply the population mean is zero (in fact you can be all but sure it isn't zero). It simply means you can't tell it from a case of random variation about zero.
Do you need an explanation of what the standard deviation represents in general? What it means in a normal distribution in particular? Something else?
If you mean 'how do I interpret the p-value?' --- that depends on what was actually being tested. I can't tell that from the information at hand.