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In this paper, we consider the entropy-based goodness of fit test (Vasicek's test) for a composite hypothesis. The test measures the discrepancy between the nonparametric entropy estimate and the parametric entropy estimate obtained from an assumed parametric family of distributions. It is shown that the proposed test is asymptotically normal under regularity conditions, but is affected by parameter estimates. As a remedy, a bootstrap version of Vasicek's test is proposed. Simulation results are provided for illustration.
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참고문헌 (11)
참고문헌 신청
J. Bai / 2003 / Testing parametric conditional distributions of dynamic models / Rev. Econ. Stat 85:531~549
J. Beirlant / 1997 / Nonparametric entropy:an overview / Inter. Int. J. Math. Stat. Sci 6(1):17~39
R. B. DAgostino / 1986 / Goodness-of-Fit Techniques / Marcel Dekker
J. Durbin / 1973 / Weak convergence of the sample distribution function when parameters are estimated / Ann. Statist 1:279~290
S. A. Khashimov / 1989 / Asymptotic properties of functions of spacings / Theory Probab. Appl 34(2):298~306
J. Beirlant / 1997 / Nonparametric entropy:an overview / Inter. Int. J. Math. Stat. Sci 6(1):17~39
R. B. DAgostino / 1986 / Goodness-of-Fit Techniques / Marcel Dekker
J. Durbin / 1973 / Weak convergence of the sample distribution function when parameters are estimated / Ann. Statist 1:279~290
S. A. Khashimov / 1989 / Asymptotic properties of functions of spacings / Theory Probab. Appl 34(2):298~306
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