A new estimator of Kullback-Leibler information and its application in goodness of fit tests*

We propose here a general statistic for the goodness of fit test of statistical distributions. The proposed statistic is constructed based on an estimate of Kullback-Leibler information. The proposed test is consistent and the limiting distribution of the test statistic is derived. Then, the established results are used to introduce goodness of fit tests for the normal, exponential, Laplace and Weibull distributions. A simulation study is carried out for examining the power of the proposed test and to compare it with those of some existing procedures. Finally, some illustrative examples are presented and analysed, and concluding comments are made.