Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Power Investigation of the Entropy-Based Test of Fit for Inverse Gaussian Distribution by the Information Discrimination Index

  • Choi, Byungjin (Department of Applied Information Statistics, Kyonggi University)
  • Received : 2012.08.21
  • Accepted : 2012.11.05
  • Published : 2012.11.30
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Abstract

Inverse Gaussian distribution is widely used in applications to analyze and model right-skewed data. To assess the appropriateness of the distribution prior to data analysis, Mudholkar and Tian (2002) proposed an entropy-based test of fit. The test is based on the entropy power fraction(EPF) index suggested by Gokhale (1983). The simulation results report that the power of the entropy-based test is superior compared to other goodness-of-fit tests; however, this observation is based on the small-scale simulation results on the standard exponential, Weibull W(1; 2) and lognormal LN(0:5; 1) distributions. A large-scale simulation should be performed against various alternative distributions to evaluate the power of the entropy-based test; however, the use of a theoretical method is more effective to investigate the powers. In this paper, utilizing the information discrimination(ID) index defined by Ehsan et al. (1995) as a mathematical tool, we scrutinize the power of the entropy-based test. The selected alternative distributions are the gamma, Weibull and lognormal distributions, which are widely used in data analysis as an alternative to inverse Gaussian distribution. The study results are provided and an illustrative example is analyzed.

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References

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