On entropy-based goodness-of-fit tests (Q1059951)

A general form of a goodness-of-fit statistic for families of maximum entropy distributions is obtained. Particular cases of such families are normal, exponential, double-exponential, gamma and beta distributions. The proposed test is shown to be consistent against an appropriate class of alternatives. Simulation and Monte Carlo results are given for exponential and double exponential distributions. The proposed test compares favorably with other goodness-of-fit tests. This paper generalizes the work of \textit{O. Vasicek} [J. R. Stat. Soc., Ser. B 38, 54-59 (1976; Zbl 0331.62031)] regarding entropy-based tests of normality and further work by \textit{E. J. Dudewicz} and \textit{E. C. van der Meulen} [Entropy based statistical inference. I. Mededelingen uit het Wiskundig Institut, Kath. Univ. Leuven, Belg., No.120 (1979)].