The Most Powerful Invariant Test of Normal Versus Cauchy with Applications to Stable Alternatives
推导了区分正态分布与柯西分布的最强尺度和位置不变检验,模拟表明在检验正态性对抗对称稳定分布时,它比五种已有检验更接近一致最有效。
Abstract This paper gives a derivation of the most powerful scale and location invariant test of normal versus Cauchy. A simulation study of this test shows that in testing normality versus symmetric stable alternatives it comes closer to being uniformly more powerful than any of five tests previously studied.