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Entropy-based test for generalised Gaussian distributions

Author

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  • Cadirci, Mehmet Siddik
  • Evans, Dafydd
  • Leonenko, Nikolai
  • Makogin, Vitalii

Abstract

The proof of L2 consistency for the kth nearest neighbour distance estimator of the Shannon entropy for an arbitrary fixed k≥1 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.

Suggested Citation

  • Cadirci, Mehmet Siddik & Evans, Dafydd & Leonenko, Nikolai & Makogin, Vitalii, 2022. "Entropy-based test for generalised Gaussian distributions," Computational Statistics & Data Analysis, Elsevier, vol. 173(C).
    • Handle: RePEc:eee:csdana:v:173:y:2022:i:c:s0167947322000822
    DOI: 10.1016/j.csda.2022.107502
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