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Two new estimators of entropy for testing normality

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  • Akram Kohansal
  • Saeid Rezakhah

Abstract

We present two new estimators for estimating the entropy of absolutely continuous random variables. Some properties of them are considered, specifically consistency of the first is proved. The introduced estimators are compared with the existing entropy estimators. Also, we propose two new tests for normality based on the introduced entropy estimators and compare their powers with the powers of other tests for normality. The results show that the proposed estimators and test statistics perform very well in estimating entropy and testing normality. A real example is presented and analyzed.

Suggested Citation

  • Akram Kohansal & Saeid Rezakhah, 2016. "Two new estimators of entropy for testing normality," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 45(18), pages 5392-5411, September.
    • Handle: RePEc:taf:lstaxx:v:45:y:2016:i:18:p:5392-5411
    DOI: 10.1080/03610926.2014.942436
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