Entropy-based test for generalized Gaussian distributions

10/13/2020

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by   Mehmet Siddik Cadirci, et al.

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In this paper, we provide the proof of L^2 consistency for the kth nearest neighbour distance estimator of the Shannon entropy for an arbitrary fixed k≥ 1. 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.