The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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A Modi ed Entropy-Based Goodness-of-Fit Tes for Inverse Gaussian Distribution

역가우스분포에 대한 변형된 엔트로피 기반 적합도 검정

  • Choi, Byung-Jin (Department of Applied Information Statistics, Kyonggi University)
  • 최병진 (경기대학교 응용정보통계학과)
  • Received : 20110200
  • Accepted : 20110300
  • Published : 2011.04.30
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Abstract

This paper presents a modified entropy-based test of fit for the inverse Gaussian distribution. The test is based on the entropy difference of the unknown data-generating distribution and the inverse Gaussian distribution. The entropy difference estimator used as the test statistic is obtained by employing Vasicek's sample entropy as an entropy estimator for the data-generating distribution and the uniformly minimum variance unbiased estimator as an entropy estimator for the inverse Gaussian distribution. The critical values of the test statistic empirically determined are provided in a tabular form. Monte Carlo simulations are performed to compare the proposed test with the previous entropy-based test in terms of power.

이 논문에서는 역가우스분포의 적합을 위한 변형된 엔트로피 기반 검정을 제시한다. 이 검정은 자료생성분포와 역가우스분포의 엔트로피 차이에 기초를 두고 있으며 검정통계량은 엔트로피 차이의 추정량을 사용한다. 엔트로피 차이의 추정량은 자료생성분포에 대한 엔트로피 추정량으로 Vasicek의 표본엔트로피와 역가우스분포에 대한 엔트로피 추정량로 균일최소분산불편추정량을 사용하여 얻는다. 모의실험을 통해 얻은 표본크기와 윈도크기에 따른 검정통계량의 기각값들을 표의 형태로 제공한다. 제안한 검정의 검정력 알아보기 위해 여러 대립분포와 표본크기에 대해서 모의실험을 수행하고 기존의 엔트로피 기반 검정과 비교한다.

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References

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