New Entropy Estimator with an Application to Test of Normality

Details New Entropy Estimator with an Application to Test of Normality New Entropy Estimator with an Application to Test of Normality

2011-10-15

arxiv.org/abs/1110.3436v1

Mathematics

Statistics Theory

Scientific paper

In the present paper we propose a new estimator of entropy based on smooth estimators of quantile density. The consistency and asymptotic distribution of the proposed estimates are obtained. As a consequence, a new test of normality is proposed. A small power comparison is provided. A simulation study for the comparison, in terms of mean squared error, of all estimators under study is performed.

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