Censored Kullback-Leibler Information and Goodness-of-Fit Test with Type II Censored Data

Jonggun Lim and Sangun Park

Journal of Applied Statistics, 2007, vol. 34, issue 9, pages 1051-1064

Abstract: The Kulback-Leibler information has been considered for establishing goodness-of-fit test statistics, which have been shown to perform very well (Arizono & Ohta, 1989; Ebrahimi et al., 1992, etc). In this paper, we propose censored Kullback-Leibler information to generalize the discussion of the Kullback-Leibler information to the censored case. Then we establish a goodness-of-fit test statistic based on the censored Kullback-Leibler information with the type 2 censored data, and compare the test statistics with some existing test statistics for the exponential and normal distributions.

Keywords: Entropy difference; maximum entropy distribution; minimum discrimination information loss estimation; order statistics; sample entropy (search for similar items in EconPapers)

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