| Abstract: | In this paper, we introduce a new estimator of entropy of a continuous random variable. We compare the proposed estimator with the existing estimators, namely, Vasicek A test for normality based on sample entropy, J. Roy. Statist. Soc. Ser. B 38 (1976), pp. 54–59], van Es Estimating functionals related to a density by class of statistics based on spacings, Scand. J. Statist. 19 (1992), pp. 61–72], Correa A new estimator of entropy, Commun. Statist. Theory and Methods 24 (1995), pp. 2439–2449] and Wieczorkowski-Grzegorewski Entropy estimators improvements and comparisons, Commun. Statist. Simulation and Computation 28 (1999), pp. 541–567]. We next introduce a new test for normality. By simulation, the powers of the proposed test under various alternatives are compared with normality tests proposed by Vasicek (1976) and Esteban et al. Monte Carlo comparison of four normality tests using different entropy estimates, Commun. Statist.–Simulation and Computation 30(4) (2001), pp. 761–785]. |
