Goodness-of-Fit Tests for Bivariate and Multivariate Skew-Normal Distributions
Goodness-of-fit tests are proposed for the skew-normal law in arbitrary dimension. In the bivariate case the proposed tests utilize the fact that the moment-generating function of the skew-normal variable is quite simple and satisfies a partial differential equation of the first order. This differential equation is estimated from the sample and the test statistic is constructed as an <b>L</b><sub><b>2</b></sub>-type distance measure incorporating this estimate. Extension of the procedure to dimension greater than two is suggested whereas an effective bootstrap procedure is used to study the behaviour of the new method with real and simulated data. Copyright (c) 2010 Board of the Foundation of the Scandinavian Journal of Statistics.
Year of publication: |
2010
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Authors: | MEINTANIS, SIMOS G. ; ZDEN ; Ecaron ; HLÁVKA, K |
Published in: |
Scandinavian Journal of Statistics. - Danish Society for Theoretical Statistics, ISSN 0303-6898. - Vol. 37.2010, 4, p. 701-714
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Publisher: |
Danish Society for Theoretical Statistics Finnish Statistical Society Norwegian Statistical Association Swedish Statistical Association |
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