Correcting moments for goodness of fit tests based on two entropy estimates

Sangun Park, Dongryeon Park

Research output: Contribution to journalArticle

42 Citations (Scopus)

Abstract

The sample entropy (Vasicek, 1976) has been most widely used as a nonparametric entropy estimator due to its simplicity, but its underlying distribution function has not been known yet though its moments are required in establishing the entropy-based goodness of test statistic (Soofi et al., 1995). In this paper we derive the nonparametric distribution function of the sample entropy as a piece-wise uniform distribution in the lights of Theil (1980) and Dudwicz and van der Meulen (1987). Then we establish the entropy-based goodness of fit test statistics based on the nonparametric distribution functions of the sample entropy and modified sample entropy (Ebrahimi et al., 1994), and compare their performances for the exponential and normal distributions.

Original languageEnglish
Pages (from-to)685-694
Number of pages10
JournalJournal of Statistical Computation and Simulation
Volume73
Issue number9
DOIs
Publication statusPublished - 2003 Sep 1

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All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Modelling and Simulation
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

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