1 Department of Statistics and O. R., Faculty of Mathematics, Universidad Complutense de Madrid, 28040 Madrid, Spain.
2 Interdisciplinary Mathematics Institute, Complutense University of Madrid, 28040 Madrid, Spain.
3 Department of Financial and Actuarial Economics & Statistics, Faculty of Commerce and Tourism, Complutense University of Madrid, 28003 Madrid, Spain.
The approach for estimating and testing based on divergence measures has become, in the last 30 years, a very popular technique not only in the field of statistics, but also in other areas, such as machine learning, pattern recognition, etc [...].