Entropy-based test for generalized Gaussian distributions
Statistics Theory
2020-10-14 v1 Statistics Theory
Abstract
In this paper, we provide the proof of consistency for the th nearest neighbour distance estimator of the Shannon entropy for an arbitrary fixed We construct the non-parametric test of goodness-of-fit for a class of introduced generalized multivariate Gaussian distributions based on a maximum entropy principle. The theoretical results are followed by numerical studies on simulated samples.
Cite
@article{arxiv.2010.06284,
title = {Entropy-based test for generalized Gaussian distributions},
author = {Mehmet Siddik Cadirci and Dafydd Evans and Nikolai Leonenko and Vitalii Makogin},
journal= {arXiv preprint arXiv:2010.06284},
year = {2020}
}