A Kolmogorov–Smirnov type test for skew normal distributions based on the empirical moment generating function |
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Authors: | Simos G. Meintanis |
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Affiliation: | Department of Economics, National and Kapodistrian University of Athens, 8 Pesmazoglou Street, 105 59 Athens, Greece |
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Abstract: | In this paper tests of hypothesis are constructed for the family of skew normal distributions. 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 empirical moment generating function, yields simple consistent test statistics. Finite-sample results as well as results from real data are provided for the proposed procedures. |
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Keywords: | 62F03 62F05 |
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