Mm Maghami, Nasrollah Iranpanah,
Volume 13, Issue 3 (11-2013)
Abstract
There are several methods for goodness of fit test for the skew normal distribution. This work focused on method of Meintanis [8] which is based on the empirical moment generating function. This test is discussed for the known and the unknown shape parameter. Meintanis [8] claimed that power of his test is higher than the Kolmogorov–Smirnov test. But this claim is true only for the known shape parameter. In this paper, we provide a new method for finding his test statistic that has more efficiency. Also Meintanis [8] not determine the size of himself test for the known shape parameter which in this paper we will determine it.
