Communications for Statistical Applications and Methods

  • 제21권2호
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  • Pages.125-134
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  • 2014
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  • 2287-7843(pISSN)
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  • 2383-4757(eISSN)
한국통계학회 (The Korean Statistical Society)
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Kullback-Leibler Information of the Equilibrium Distribution Function and its Application to Goodness of Fit Test

  • 투고 : 2013.12.05
  • 심사 : 2014.03.14
  • 발행 : 2014.03.31
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초록

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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참고문헌

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피인용 문헌

  1. Exponentiality test based on Renyi distance between equilibrium distributions 2018, https://doi.org/10.1080/03610918.2017.1366514