New Entropy Estimator with an Application to Test of Normality

Published in Communications in Statistics, Theory and Methods, 2013

S. Bouzebda, I. Elhattab, A. Keziou and T. Lounis

In the present article, we propose a new estimator of entropy based on smooth estimators of quantile density. The consistency and asymptotic distribution of the proposed estimates are obtained. As a consequence, a new test of normality is proposed. A small power comparison is provided. A simulation study for the comparison, in terms of mean squared error, of all estimators under study is performed.

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