A Test of Separate Families of Distributions Based on the Empirical Moment Generating Function
基于经验矩母函数的分离分布族检验
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 large-sample power. Small-sample properties of the test in…