Kullback-Leibler Information of the Equilibrium Distribution Function and its Application to Goodness of Fit Test

被引：8

作者：

Park, Sangun ^{[1
]}

Choi, Dongseok ^{[2
]}

Jung, Sangah ^{[1
]}

机构：

[1] Yonsei Univ, Dept Appl Stat, Shinchon Dong 134, Seoul 120749, South Korea

[2] Oregon Hlth & Sci Univ, Seoul, South Korea

来源：

COMMUNICATIONS FOR STATISTICAL APPLICATIONS AND METHODS | 2014年 / 21卷 / 02期

基金：

新加坡国家研究基金会;

关键词：

Cumulative residual KL information; exponential distribution; Fisher information; Good-ness of fit test;

D O I：

10.5351/CSAM.2014.21.2.125

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Kullback-Leibler (KL) information is a measure of discrepancy between two probability density functions. However, several nonparametric density function estimators have been considered in estimating KL information because KL information is not well-defined on the empirical distribution function. In this paper, we consider the KL information of the equilibrium distribution function, which is well defined on the empirical distribution function (EDF), and propose an EDF-based goodness of fit test statistic. We evaluate the performance of the proposed test statistic for an exponential distribution with Monte Carlo simulation. We also extend the discussion to the censored case.

引用

页码：125 / 134

页数：10

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