Entropy-based test for generalized Gaussian distributions
Abstract
In this paper, we provide the proof of L2 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.
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