Entropy-based test for generalized Gaussian distributions

MaRDI QIDQ6351171zbMATH OpenFDO

Authors Mehmet Siddik Cadirci, Dafydd Evans, Nikolai N. Leonenko, Vitalii Makogin

Publication date 13 October 2020

Mathematics Subject Classification ID

Entropy and other invariants (28D20) Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10)

Abstract: In this paper, we provide the proof of $L^2$ consistency for the $k$th nearest neighbour distance estimator of the Shannon entropy for an arbitrary fixed $kgeq1.$ We construct the non-parametric test of goodness-of-fit for a class of introduced generalized multivariate Gaussian distributions based on a maximum entropy principle. The theoretical results are followed by numerical studies on simulated samples.

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