Information Divergence is more chi squared distributed than the chi squared statistics

Peter Harremoës, Gábor Tusnády

For testing goodness of fit it is very popular to use either the chi square statistic or G statistics (information divergence). Asymptotically both are chi square distributed so an obvious question is which of the two statistics that has a distribution that is closest to the chi square distribution. Surprisingly, when there is only one degree of freedom it seems like the distribution of information divergence is much better approximated by a chi square distribution than the chi square statistic. For random variables we introduce a new transformation that transform several important distributions into new random variables that are almost Gaussian. For the binomial distributions and the Poisson distributions we formulate a general conjecture about how close their transform are to the Gaussian. The conjecture is proved for Poisson distributions.

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