Goodness of Fit Test for the Skew-t Distribution

Volume 14, Issue 4, pp 274-283 http://dx.doi.org/10.22436/jmcs.014.04.02

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Authors

M. Maghami - Department of Statistics, University of Isfahn, Isfahan, Iran. M. Bahrami - Department of Statistics, University of Isfahn, Isfahan, Iran.

Abstract

In this manuscript goodness-of-fit test is proposed for the Skew-t distribution based on properties of the family of these distributions and the sample correlation coefficient. The critical values for the test can be achieved by Monte Carlo simulation method for several sample sizes and levels of significance. The power of the proposed test can be specified for different sample sizes and considering diverse alternatives.

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Keywords

• Sample correlation coefficient
• Skew-t
• Goodness-of-fit test.

MSC

•  62E20
•  62F05
•  60E05
•  62F12

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