MODIFIED ESTIMATORS OF RENYI ENTROPY WITH APPLICATION IN TESTING EXPONENTIALITY BASED ON TRANSFORMED DATA

Abstract

This paper deals with the estimation problem of Renyi entropy of a continuous random variable.Three estimators are obtained by correcting the coefficients of the Vasicek-type estimator of Renyi entropy.We perform a simulation study to compare these estimators with the Vasicek-type estimator. The resultsshow that our estimators are better than the existing one in terms of bias and root mean squared error.We also introduce goodness of fit tests for testing exponentiality based on the estimated Renyi entropy oftransformed data. By Monte Carlo simulation, the powers of the proposed tests under various alternativesare compared with the famous existing tests

Keywords

• Renyi information, Entropy estimator, Goodness of fit test, Uniformity

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