Censored Kullback-Leibler Information and Goodness-of-Fit Test with Type II Censored Data |
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Authors: | Jonggun Lim Sangun Park |
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Affiliation: | a Financial Supervisory Service, Koreab Department of Applied Statistics, Yonsei University, Korea |
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Abstract: | The Kulback-Leibler information has been considered for establishing goodness-of-fit test statistics, which have been shown to perform very well (Arizono & Ohta, 1989; Ebrahimi et al., 1992, etc). In this paper, we propose censored Kullback-Leibler information to generalize the discussion of the Kullback-Leibler information to the censored case. Then we establish a goodness-of-fit test statistic based on the censored Kullback-Leibler information with the type 2 censored data, and compare the test statistics with some existing test statistics for the exponential and normal distributions. |
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Keywords: | Entropy difference maximum entropy distribution minimum discrimination information loss estimation order statistics sample entropy |
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