Kybernetika 39 no. 6, 739-752, 2003

Goodness-of-fit tests based on Kφ-divergence

Teresa Pérez and Julio A. Pardo


In this paper a new family of statistics based on $K_{\phi}$-divergence for testing goodness-of-fit under composite null hypotheses are considered. The asymptotic distribution of this test is obtained when the unspecified parameters are estimated by maximum likelihood as well as minimum $K_{\phi}$-divergence.