Testing skew normality via the moment generating function

被引：9
|
作者：
Meintanis S.G. [1 ]
机构：
[1] Dept. of Economics, National and Kapodistrian Univ. of Athens, Athens
来源：
Mathematical Methods of Statistics | 2010年 / 19卷 / 1期
关键词：
goodness-of-fit test; moment generating function; parametric bootstrap; skew normal distribution;
D O I：
10.3103/S1066530710010047
中图分类号：
学科分类号：
摘要：
In this paper, goodness-of-fit tests are constructed for the skew normal law. The proposed tests utilize the fact that the moment generating function of the skew normal variable satisfies a simple differential equation. The empirical counterpart of this equation, involving the empiricalmoment generating function, yields appropriate test statistics. The consistency of the tests is investigated under general assumptions, and the finite-sample behavior of the proposed method is investigated via a parametric bootstrap procedure. © 2010 Allerton Press, Inc.
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页码：64 / 72
页数：8
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