On a test of normality based on the empirical moment generating function

被引：8

作者：

Henze, Norbert ^{[1
]}

Koch, Stefan ^{[2
]}

机构：

[1] Karlsruhe Inst Technol, Inst Stochast, Englerstr 2, D-76131 Karlsruhe, Germany

[2] Univ Mannheim, Inst Math, A5 6, D-68159 Mannheim, Germany

来源：

STATISTICAL PAPERS | 2020年 / 61卷 / 01期

关键词：

Test of normality; Empirical moment generating function; Weighted L-2-statistic; Consistency; Contiguous alternatives; STATISTICS; FIT; POWER;

D O I：

10.1007/s00362-017-0923-7

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We provide the lacking theory for a test of normality based on a weighted L-2-statistic that employs the empirical moment generating function. The test statistic has a non-degenerate asymptotic null distribution, and the test is consistent against general alternatives. As a parameter associated with the weight function tends to infinity, an affine transformation of the test statistic approaches squared sample skewness.

引用

页码：17 / 29

页数：13

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