The Effect Evaluation of Density Estimation through Non-Gaussian Measurement

How to test the effect of density estimation methods is the key problem in the statistics. This paper presents a new criterion for assessing the effect of density estimation to select the suitable density e stimation method, using the maximum-entropy non-Gaussian measurement. Comparing withχ 2 -test and Dn-test, the method avoids the problem of the data interval division, and it is su itable for any type probability distribution. Simulation results show that the proposed me thod can accurately discriminate the pros and cons of different density estimation methods..