Entropy-based test for generalised Gaussian distributions

Abstract

The proof of L2 consistency for the kth nearest neighbour distance estimator of the Shannon entropy for an arbitrary fixed k≥1 is provided. It is constructed the non-parametric test of goodness-of-fit for a class of introduced generalised multivariate Gaussian distributions based on a maximum entropy principle. The theoretical results are followed by numerical studies on simulated samples. It is shown that increasing of k improves the power of the introduced goodness of fit tests. The asymptotic normality of the test statistics is experimentally proven.