A maximum entropy type test of fit: Composite hypothesis case

In this paper, we propose a goodness of fit test based on maximum entropy. As an extension of the result on the simple versus simple hypothesis case handled by Lee et al. (2011), a composite hypothesis case is taken into consideration. To eliminate the parameter estimation effect, we apply the Khmaladze transformation for the empirical process and obtain the asymptotic distribution of the proposed test. The performance of the test is investigated through Monte Carlo simulations.