Cumulant Plots for Assessing the Gamma Distribution

This article introduces graphical procedures for assessing the fit of the gamma distribution. The procedures are based on a standardized version of the cumulant generating function. Plots with bands of 95% simultaneous confidence level are developed by utilizing asymptotic and finite-sample results. The plots have linear scales and do not rely on the use of tables or values of special functions. Further, it is found through simulation, that the goodness-of-fit test implied by these plots compares favorably with respect to power to other known tests for the gamma distribution in samples drawn from lognormal and inverse Gaussian distributions.