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http://dx.doi.org/10.4134/BKMS.2016.53.2.351

ENTROPY-BASED GOODNESS OF FIT TEST FOR A COMPOSITE HYPOTHESIS

Lee, Sangyeol (Department of Statistics, Seoul National University)

Publication Information

Bulletin of the Korean Mathematical Society / v.53, no.2, 2016 , pp. 351-363 More about this Journal

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;

Citations & Related Records

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