Bulletin of the Korean Mathematical Society (대한수학회보)

Korean Mathematical Society (대한수학회)
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ENTROPY-BASED GOODNESS OF FIT TEST FOR A COMPOSITE HYPOTHESIS

  • Lee, Sangyeol (Department of Statistics, Seoul National University)
  • Received : 2014.04.28
  • Published : 2016.03.31
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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.

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References

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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