Tests of goodness of fit based on Phi-divergence

Hadi Alizadeh Noughabi and Narayanaswamy Balakrishnan

Journal of Applied Statistics, 2016, vol. 43, issue 3, 412-429

Abstract: In this paper, we introduce a general goodness of fit test based on Phi-divergence. Consistency of the proposed test is established. We then study some special cases of tests for normal, exponential, uniform and Laplace distributions. Through Monte Carlo simulations, the power values of the proposed tests are compared with some known competing tests under various alternatives. Finally, some numerical examples are presented to illustrate the proposed procedure.

Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:taf:japsta:v:43:y:2016:i:3:p:412-429

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DOI: 10.1080/02664763.2015.1063116

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