论文信息 - A test of separate families of distributions based on the empirical moment generating function

A test of separate families of distributions based on the empirical moment generating function

SUMMARY In testing an hypothesis that a population has a specified distribution against the alternative that its distribution belongs to a separate family it is well known that the likelihood ratio test does not apply. We propose a test based on the difference between the sample moment generating function and its theoretical counterpart under Ho. The argument of the moment generating function is chosen to maximize the test's largesample power. Small-sample properties of the test in two applications are studied by simulation.

K. Singleton | T. W. Epps | L. Pulley

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