A comprehensive study of lognormality tests


Abstract


There is abundant and increasing evidence that the lognormal distribution can account for random variation present in the data from many scientific fields. In the light of this flexibility for modeling, this article deals with goodness-of-fit tests for the lognormal distribution. Several testing procedures are compared by means of extensive simulation. Lastly, an actuarial data set is analyzed for illustration.

Keywords: Empirical distribution function; Information theory; Likelihood ratio.

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