Smooth tests for the gamma distribution

Abstract

The gamma distribution is often used to model data with right skewness. Smooth tests of goodness of fit are proposed for this distribution. Their powers are compared with powers of the Anderson–Darling test and tests based on the empirical Laplace transform, the empirical moment generating function and the independence of the mean and coefficient of variation that characterizes the gamma distribution.

Keywords:

• Anderson–Darling test
• empirical Laplace transform
• empirical moment generating function
• generalized smooth tests
• goodness of fit

AMS Subject Classification :

• 62-02
• 62F03

Acknowledgements

Research supported by IUAP research network grant nr. P6/03 of the Belgian government (Belgian Science Policy). The support of the ARC Centre of Excellence for Complex Dynamic Systems and Control is gratefully acknowledged. We also wish to thank the reviewers for their insightful comments.