Varentropy estimators applied to test of fit for inverse Gaussian distribution

Abstract

Recently, Alizadeh and Shafaei (2023) introduced some estimators for varentropy of a continuous random variable. The present article applies these estimators and construct some tests of fit for Inverse Gaussian distribution. Percentage points and type I error of the new tests are obtained and then power values of the proposed tests against various alternatives are computed. The results of a simulation study show that the tests have a good performance in terms of power. Finally, a real data set is used to illustrate the application of the proposed tests.

Keywords

• maximum likelihood estimates
• goodness-of-fit test
• percentage points
• monte carlo simulation
• test power