New Entropy Estimator with an Application to Test of Normality

Abstract

In the present paper 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.

References in corpus (2)

• Uniform in bandwidth consistency of kernel-type function estimators
• Uniform-in-bandwidth consistency for kernel-type estimators of Shannon's entropy

Cited by in corpus (2)

• A Bayesian Nonparametric Estimation to Entropy
• On a test of normality based on the empirical moment generating function