Default Bayesian goodness-of-fit tests for the skew-normal model

S. Cabras and M. E. Castellanos

Journal of Applied Statistics, 2009, vol. 36, issue 2, 223-232

Abstract: In this paper we propose a series of goodness-of-fit tests for the family of skew-normal models when all parameters are unknown. As the null distributions of the considered test statistics depend only on asymmetry parameter, we used a default and proper prior on skewness parameter leading to the prior predictive p-value advocated by G. Box. Goodness-of-fit tests, here proposed, depend only on sample size and exhibit full agreement between nominal and actual size. They also have good power against local alternative models which also account for asymmetry in the data.

Keywords: EDF test; model checking; prior predictive distribution; power; p-values; size of test (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1080/02664760802443988

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