General treatment of goodness-of-fit tests based on Kullback-Leibler information
This paper introduces a general goodness-of-fit test based on the estimated Kullback-Leibler information. The test uses the Vasicek entropy estimate. Two special cases of the test for location-scale and shape families are discussed. The results are used to introduce goodness-of-fit tests for the uniform, Laplace, Weibull and beta distributions. The critical values and powers for some alternatives are obtained by simulation.
goodness-of-fit tests kullback-leibler information entropy uniform laplace weibull beta