Comparing Entropy and Energy Goodness-of-fit test for Lévy Distribution

21/09/2014
Auteurs :
Publication MaxEnt 2014
OAI : oai:www.see.asso.fr:9603:11333
DOI :

Abstract

Comparing Entropy and Energy Goodness-of-fit test for Lévy Distribution

Collection

application/pdf Comparing Entropy and Energy Goodness-of-fit test for Lévy Distribution

Metrics

22
10
113.69 KB
 application/pdf
bitcache://1d2f684bdd066975e65837ad8f47467c04ea76d3

License

Creative Commons None (All Rights Reserved)

Sponsors

Scientific sponsors

logo_smf_cmjn.gif
smai.png

Logistic sponsors

logo_cnrs_2.jpg
logo_supelec.png
logo-universite-paris-sud.jpg
logo_see.gif

Funding sponsors

bsu-logo.png
entropy1-01.png
<resource  xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"
                xmlns="http://datacite.org/schema/kernel-4"
                xsi:schemaLocation="http://datacite.org/schema/kernel-4 http://schema.datacite.org/meta/kernel-4/metadata.xsd">
        <identifier identifierType="DOI">10.23723/9603/11333</identifier><creators><creator><creatorName>Mina Aminghafari</creatorName></creator><creator><creatorName>Maryam Hematti</creatorName></creator></creators><titles>
            <title>Comparing Entropy and Energy Goodness-of-fit test for Lévy Distribution</title></titles>
        <publisher>SEE</publisher>
        <publicationYear>2014</publicationYear>
        <resourceType resourceTypeGeneral="Text">Text</resourceType><dates>
	    <date dateType="Created">Sat 30 Aug 2014</date>
	    <date dateType="Updated">Mon 2 Oct 2017</date>
            <date dateType="Submitted">Fri 20 Jul 2018</date>
	</dates>
        <alternateIdentifiers>
	    <alternateIdentifier alternateIdentifierType="bitstream">1d2f684bdd066975e65837ad8f47467c04ea76d3</alternateIdentifier>
	</alternateIdentifiers>
        <formats>
	    <format>application/pdf</format>
	</formats>
	<version>34212</version>
        <descriptions>
            <description descriptionType="Abstract"></description>
        </descriptions>
    </resource>
.

Comparing Entropy and Energy Goodness-of-fit test for Lévy Distribution Mina Aminghafari and Maryam Hematti Faculty of Mathematics & Computer Science, Amirkabir University of Technology (Tehran Polytechnic) The main restriction in a parametric method is the assumption of knowing population distribution. However, there is no parametric test for testing population distribution. Goodness- of-fit tests (GFT) are introduced as a non-parametric tool as a solution of this problem. GFT has a long history. Vasicek (1976), for the first time, proposed a GFT based on entropy and it extended by Gokhale (1983) and Ebrahimi et al. (1992) in two different directions. After these contributions many papers dedicate to the application or improvement of GFTs. Behind of the well the known GFTs, recently a GFT based on energy statistics (e.g. Székely and Rizzo (2013)) is proposed for testing heavy tailed Lévy stable distributions, Yang (2012). In this work, we introduced a modified entropy base GFT for Lévy distribution. We compare the power of the proposed test with the entropy and energy GFTs through a Monte Carlo simulation. References Székely G. J. and Rizzo M. L. (2013). Energy statistics: A class of statistics based on distances, Journal of Statistical Planning and Inference, 143, 1249–1272. Yang, G. (2012). The Energy Goodness-of-Fit Test for Univariate Stable Distributions. Ph.D. Thesis. Bowling Green State University. Gokhale, D.V. (1983). On entropy-based goodness-of-fit tests, Computational Statistics and Data Analysis, 1, 157-165. Ebrahimi, N., Habibullah, M., Soofi, E.S. (1992). Testing Exponentiality Based on Kullback-Leibler Information. Journal of the Royal Statistical Society. Series B, 739-748. Vasicek O. (1976). A test for normality based on sample entropy. Journal of the Royal Statistical Society. Series B, 54-59