New entropy estimator with an application to test of normality

DOI10.1080/03610926.2011.608473MaRDI QIDQ2839082zbMATH OpenOpenAlexFDO

Authors Salim Bouzebda, Issam Elhattab, Amor Keziou, Tewfik Lounis

Publication date 4 July 2013

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1110.3436

zbMATH Keywords

entropyentropy testkernel estimationquantile densityspacing-based estimatorsstrong approximationstest of normalityVasicek's estimator

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Asymptotic properties of parametric estimators (62F12) Density estimation (62G07) Measures of information, entropy (94A17)

Abstract: In the present paper we propose a new estimator of entropy based on smooth estimators of quantile density. The consistency and asymptotic distribution of the proposed estimates are obtained. As a consequence, a new test of normality is proposed. A small power comparison is provided. A simulation study for the comparison, in terms of mean squared error, of all estimators under study is performed.

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Cited in

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• Estimators based on sample quantiles using \((h,\phi)\)-entropy measures
• Kullback-Leibler divergence for Bayesian nonparametric model checking
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• New optimization techniques in engineering
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