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Testing goodness-of-fit for Laplace distribution based on maximum entropy 

Authors: Byungjin Choi a; Keeyoung Kim b
Affiliations:   a Department of Applied Information Statistics, Kyonggi University, Suwon, Gyeonggi-Do, Korea
b Department of Statistics, Korea University, Sungbuk-Gu, Seoul, Korea
DOI: 10.1080/02331880600822473
Publication Frequency: 6 issues per year
Published in: journal Statistics, Volume 40, Issue 6 December 2006 , pages 517 - 531
Formats available: HTML (English) : PDF (English)
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Abstract

This article presents the goodness-of-fit tests for the Laplace distribution based on its maximum entropy characterization result. The critical values of the test statistics estimated by Monte Carlo simulations are tabulated for various window and sample sizes. The test statistics use an entropy estimator depending on the window size; so, the choice of the optimal window size is an important problem. The window sizes for yielding the maximum power of the tests are given for selected sample sizes. Power studies are performed to compare the proposed tests with goodness-of-fit tests based on the empirical distribution function. Simulation results report that entropy-based tests have consistently higher power than EDF tests against almost all alternatives considered.
Keywords: Laplace distribution; Maximum entropy; Entropy estimator; Goodness-of-fit test
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