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Entropy-based test for generalized Gaussian distributions

Cadirci, Mehmet Siddik, Evans, Dafydd, Leonenko, Nikolai ORCID: and Makogin, Vitalii 2022. Entropy-based test for generalized Gaussian distributions. Computational Statistics & Data Analysis 173 , 107502. 10.1016/j.csda.2022.107502

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The proof of consistency for the kth nearest neighbour distance estimator of the Shannon entropy for an arbitrary fixed is provided. It is constructed the non-parametric test of goodness-of-fit for a class of introduced generalised multivariate Gaussian distributions based on a maximum entropy principle. The theoretical results are followed by numerical studies on simulated samples. It is shown that increasing of k improves the power of the introduced goodness of fit tests. The asymptotic normality of the test statistics is experimentally proven.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Publisher: Elsevier
ISSN: 0167-9473
Date of First Compliant Deposit: 13 April 2022
Date of Acceptance: 7 April 2022
Last Modified: 16 Nov 2023 09:13

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