Asymptotic behaviour and statistical applications of divergence measures in multinomial populations: A unified study (Q1805530)
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English | Asymptotic behaviour and statistical applications of divergence measures in multinomial populations: A unified study |
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Asymptotic behaviour and statistical applications of divergence measures in multinomial populations: A unified study (English)
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3 October 1996
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Divergence measures play an important role in statistical theory, especially in large sample theories of estimation and testing. The underlying reason is that they are indices of statistical distance between probability distributions \(P\) and \(Q\); the smaller these indices are the harder it is to discriminate between \(P\) and \(Q\). Many divergence measures have been proposed in the literature. In order to do a unified study of their statistical properties, we propose a generalized divergence, called \((\underline h, \underline \varphi)\)-divergence, which includes as particular cases divergence measures well known from the literature. Under different assumptions, it is shown that the asymptotic distributions of the \((\underline h, \underline \varphi)\)-divergence statistics are either normal or chi square. The chi square and the likelihood ratio test statistics are particular cases of the \((\underline h, \underline \varphi)\)-divergence test statistics considered. From the previous results, asymptotic distributions of entropy statistics are derived too. Applications to testing statistical hypotheses in multinomial populations are given. The Pitman and Bahadur efficiencies of tests of goodness of fit and independence based on these statistics are obtained. To finish, appendices with the asymptotic variances of many well known divergence and entropy statistics are presented.
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diversity
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test of homogeneity
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test of independence
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Pitman efficiency
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Bahadur efficiency
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generalized divergence
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divergence measures
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likelihood ratio test statistics
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entropy statistics
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multinomial populations
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tests of goodness of fit
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asymptotic variances
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