A maximum entropy type test of fit

Sangyeol Lee, Ilia Vonta and Alex Karagrigoriou

Computational Statistics & Data Analysis, 2011, vol. 55, issue 9, 2635-2643

Abstract: In this paper, we propose a test of fit based on maximum entropy. The asymptotic distribution of the proposed test statistic is established and a corrected form for small and medium sample sizes is furnished. The performance of the test is investigated through extensive Monte Carlo simulations. Real examples are also presented and analyzed.

Keywords: Maximum; entropy; measure; Goodness; of; fit; test; Reliability; Brownian; bridge (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (8)

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