Applied Mathematics & Information Sciences

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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 estimation method, using the maximum-entropy non-Gaussian measurement. Comparing withc2-test and Dn-test, the method avoids the problem of the data interval division, and it is suitable for any type probability distribution. Simulation results show that the proposed method can accurately discriminate the pros and cons of different density estimation methods..

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