A goodness-of-fit test for positive stable law is proposed. For this mean, the Kullback-Leibler distance measure, as a basic tool in entropy theory, is considered. A simulation study is performed to compare the performance of the proposed method and old ones that suggested by Shkol’nik . The results reveal that the introduced approach here shows more performance, in the sense of the test statistic empirical power, than the Shkol’nik  treatment in both cases: 1-both exponent and scale parameters of positive stable law are unknown and sample size is small; 2-exponent parameter is known. Real data application is illustrated to show proposed approach’s superior performance versus the old method.
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Research Article| January 13 2015
Entropy-based goodness-of-fit test for positive stable law
AIP Conf. Proc. 1641, 456–462 (2015)
Mahdi Teimouri, Saeid Rezakhah, Adel Mohammadpour; Entropy-based goodness-of-fit test for positive stable law. AIP Conf. Proc. 13 January 2015; 1641 (1): 456–462. https://doi.org/10.1063/1.4906010
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