General cumulative Kullback–Leibler information

Sangun Park, Hadi Alizadeh Noughabi and Ilmun Kim

Communications in Statistics - Theory and Methods, 2018, vol. 47, issue 7, 1551-1560

Abstract: The cumulative residual Kullback–Leibler information is defined on the semi-infinite (non negative) interval. In this paper, we extend the cumulative residual Kullback–Leibler information to the whole real line and propose a general cumulative Kullback–Leibler information. We study its application to a test for normality in comparison with some competing test statistics based on the empirical distribution function including the well-known tests applied in practice like Kolmogorov–Smirnov, Cramer–von Mises, Anderson–Darling, and other existing tests.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:47:y:2018:i:7:p:1551-1560

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DOI: 10.1080/03610926.2017.1321767

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