Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Kullback-Leibler Information of the Equilibrium Distribution Function and its Application to Goodness of Fit Test

  • Received : 2013.12.05
  • Accepted : 2014.03.14
  • Published : 2014.03.31
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Abstract

Kullback-Leibler (KL) information is a measure of discrepancy between two probability density functions. However, several nonparametric density function estimators have been considered in estimating KL information because KL information is not well-defined on the empirical distribution function. In this paper, we consider the KL information of the equilibrium distribution function, which is well defined on the empirical distribution function (EDF), and propose an EDF-based goodness of fit test statistic. We evaluate the performance of the proposed test statistic for an exponential distribution with Monte Carlo simulation. We also extend the discussion to the censored case.

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References

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