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Optimal Phi-Divergence Tests

Panayiotis Panayiotou, Alex Karagrigoriou

Abstract


The aim of this work is the investigation of goodness of fit tests using measures of divergence. More specifically, we introduce a new family of divergence measures which is indexed by a positive parameter “a” and identify optimum values of “a” in order to improve the accuracy of the associated goodness of fit tests.

Keywords


Divergence measures, goodness of fit tests, optimal tests

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