An entropy characterization of the inverse Gaussian distribution and related goodness-of-fit test

Govind S. Mudholkar; Lili Tian

doi:10.1016/S0378-3758(01)00099-4

An entropy characterization of the inverse Gaussian distribution and related goodness-of-fit test

Govind S. Mudholkar
, Lili Tian

Department of Biostatistics

University of Rochester

Research output: Contribution to journal › Article › peer-review

56 Scopus citations

Abstract

The inverse Gaussian family is widely used for modeling positively skewed measurements. In this note, we present an entropy characterization of the inverse Gaussian family and use it to construct a goodness-of-fit test for ascertaining appropriateness of such models. This test is consistent against all alternatives without a singular component and has good power properties.

Original language	English
Pages (from-to)	211-221
Number of pages	11
Journal	Journal of Statistical Planning and Inference
Volume	102
Issue number	2
DOIs	https://doi.org/10.1016/S0378-3758(01)00099-4
State	Published - Apr 1 2002

Keywords

Maximum entropy
Normality
Power study
Vasicek test

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10.1016/S0378-3758(01)00099-4

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abstract = "The inverse Gaussian family is widely used for modeling positively skewed measurements. In this note, we present an entropy characterization of the inverse Gaussian family and use it to construct a goodness-of-fit test for ascertaining appropriateness of such models. This test is consistent against all alternatives without a singular component and has good power properties.",

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N2 - The inverse Gaussian family is widely used for modeling positively skewed measurements. In this note, we present an entropy characterization of the inverse Gaussian family and use it to construct a goodness-of-fit test for ascertaining appropriateness of such models. This test is consistent against all alternatives without a singular component and has good power properties.

AB - The inverse Gaussian family is widely used for modeling positively skewed measurements. In this note, we present an entropy characterization of the inverse Gaussian family and use it to construct a goodness-of-fit test for ascertaining appropriateness of such models. This test is consistent against all alternatives without a singular component and has good power properties.

KW - Maximum entropy

KW - Normality

KW - Power study

KW - Vasicek test

UR - https://www.scopus.com/pages/publications/0036532220

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DO - 10.1016/S0378-3758(01)00099-4

M3 - Article

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JO - Journal of Statistical Planning and Inference

JF - Journal of Statistical Planning and Inference

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ER -

An entropy characterization of the inverse Gaussian distribution and related goodness-of-fit test

Abstract

Keywords

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