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ENTROPY-BASED GOODNESS OF FIT TEST FOR A COMPOSITE HYPOTHESIS

Lee, Sangyeol

  • Received : 2014.04.28
  • Published : 2016.03.31

Abstract

In this paper, we consider the entropy-based goodness of fit test (Vasicek's test) for a composite hypothesis. The test measures the discrepancy between the nonparametric entropy estimate and the parametric entropy estimate obtained from an assumed parametric family of distributions. It is shown that the proposed test is asymptotically normal under regularity conditions, but is affected by parameter estimates. As a remedy, a bootstrap version of Vasicek's test is proposed. Simulation results are provided for illustration.

Keywords

goodness of fit test;entropy test;Vasicek's test;composite hypothesis test;bootstrap test

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Cited by

  1. On entropy goodness-of-fit test based on integrated distribution function vol.88, pp.12, 2018, https://doi.org/10.1080/00949655.2018.1467911

Acknowledgement

Supported by : National Research Foundation of Korea(NRF)