README.md

In PBGoF: Parametric Bootstrap Tests for the Skew-Normal Distribution

PBGoF

PBGoF: Parametric Bootstrap Goodness-of-Fit Tests for the Skew-normal Distribution with Estimated Parameters

Hongxiang Li and Tsung Fei Khang

PBGoF is an R package for assessing whether a numeric sample is compatible with a univariate skew-normal distribution when the model parameters are estimated from the same data. It provides Kolmogorov-Smirnov (KS) and Cramer-von Mises (CvM) tests using either a parametric bootstrap or precomputed simulation quantiles, together with robust parameter estimation procedures.

Installation

Install PBGoF from a local source archive with:

install.packages("PBGoF_0.1.0.tar.gz", repos = NULL, type = "source")

Install PBGoF from GitHub with devtools:

if (!"devtools" %in% rownames(installed.packages())) {
  install.packages("devtools")
}
devtools::install_github("Divo-Lee/PBGoF")

or with pak:

if (!"pak" %in% rownames(installed.packages())) {
  install.packages("pak")
}
pak::pkg_install("Divo-Lee/PBGoF")

Dependencies

PBGoF depends on the R packages sn and methods.

Methods

Skew-normal model and composite null hypothesis

Let $X_1,\ldots,X_n$ be an independent sample. Under the null hypothesis,

$$ H_0:\quad X_i \overset{\mathrm{iid}}{\sim} \mathrm{SN}(\xi,\omega,\alpha), \qquad \xi\in\mathbb{R},\quad \omega>0,\quad \alpha\in\mathbb{R}. $$

Writing $z=(x-\xi)/\omega$, the skew-normal density is

$$ f_{\mathrm{SN}}(x;\xi,\omega,\alpha)=\frac{2}{\omega} \phi(z) \Phi(\alpha z), $$

where $\phi$ and $\Phi$ are the standard normal density and distribution functions. Because $\boldsymbol\theta=(\xi,\omega,\alpha)^{\mathsf T}$ is estimated from the sample, this is a composite goodness-of-fit problem; the usual KS null distribution for a fully specified model is not applicable.

PBGoF estimates the model through sn.fit.robust(): MLE is attempted first, followed by MPLE and then MPLE with the matching-prior penalty. A fit is accepted only if the estimates and standard errors are finite and the scale is positive.

EDF statistics with estimated parameters

For order statistics $X_{(1)}\leq\cdots\leq X_{(n)}$, define

$$ U_{(i)}=F_{\mathrm{SN}} \left(X_{(i)};\widehat{\boldsymbol\theta}\right), \qquad i=1,\ldots,n. $$

The two-sided Kolmogorov-Smirnov discrepancy and PBGoF scaling are

$$ D_n=\max_{1\leq i\leq n}\left(\frac{i}{n}-U_{(i)},\;U_{(i)}-\frac{i-1}{n}\right), \qquad T_{\mathrm{KS}}=\sqrt{n_{\mathrm{eff}}}\,D_n. $$

The Cramer-von Mises statistic is

$$ W_n^2=\frac{1}{12n}+\sum_{i=1}^{n}\left[U_{(i)}-\frac{2i-1}{2n}\right]^2. $$

The parametric-bootstrap CvM test uses $W_n^2$, whereas the precomputed-quantile CvM test uses

$$ T_{\mathrm{CvM}}=\sqrt{n_{\mathrm{eff}}}\,W_n^2. $$

Within the table range, $n_{\mathrm{eff}}=n$.

Parametric-bootstrap calibration

The functions sn.para.bootstrap.ks.test() and sn.para.bootstrap.cvm.test() reproduce the full estimation procedure:

1. Fit the observed sample and compute $T_{\mathrm{obs}}$.
2. Generate $B$ samples of size $n$ from $\mathrm{SN}(\widehat\xi,\widehat\omega,\widehat\alpha)$.
3. Re-estimate all parameters independently in each bootstrap sample.
4. Compute the same statistic with that sample's fitted parameters.

For $B_{\mathrm{valid}}$ finite bootstrap statistics, PBGoF uses

$$ \widehat p_{\mathrm{boot}}=\frac{1+\displaystyle\sum_{b=1}^{B_{\mathrm{valid}}}\mathbf{1} \left(T_b^*\geq T_{\mathrm{obs}}\right)}{B_{\mathrm{valid}}+1}. $$

Failed fits are excluded and reported. Re-estimation in every replicate calibrates the statistic for the composite null rather than incorrectly treating the fitted distribution as fixed.

Precomputed-quantile calibration

PBGoF_ks_test() and PBGoF_cvm_test() use tables generated from 100,000 Monte Carlo replicates per available sample-size and centered-skewness combination. The data are fitted in two parameterizations:

• DP $(\xi,\omega,\alpha)$ evaluates the fitted CDF and EDF statistic.
• CP $(\mu,\sigma,\gamma_1)$ matches skewness to the simulation table.

The lookup value is

$$ \gamma_{1,\mathrm{used}}=\min \left(0.99,\max \left[0.01,\mathrm{round} \left(\left|\widehat\gamma_1\right|,2\right)\right]\right). $$

The absolute value follows reflection symmetry: if $X\sim\mathrm{SN}(\xi,\omega,\alpha)$, then $-X$ has shape $-\alpha$. The signs of $\alpha$ and $\gamma_1$ reverse, but the null distributions of the reflection-invariant EDF statistics do not. Therefore, estimated skewness values with the same absolute magnitude but opposite signs use the same reference-table row. PBGoF retains the signed gamma1_hat and returns the non-negative lookup value as gamma1_used.

The bundled tables cover sample sizes through 500. For $n>500$, all observations remain in the fit and EDF, but

$$ n_{\mathrm{eff}}=\min(n,500)=500 $$

is used for the external statistic multiplier and table lookup, following the finding that fitted-skew-normal EDF critical values above 500 are nearly identical to those at 500.

For stored quantiles $q_p$, define

$$ p^{*}=\min_{q_p\geq T_{\mathrm{obs}}}p,\qquad \widehat p_{\mathrm{table}}=1-p^{*}. $$

The probability grid is 0.01 to 0.99 in increments of 0.01, so the result is a conservative step-function approximation. PBGoF does not interpolate across sample size or skewness.

Interpretation

A small p-value is evidence against the fitted skew-normal model. A large p-value does not prove skew-normality; it means the test did not detect a departure at the available sample size and calibration resolution. Use sn.plot.check() alongside the formal tests.

References

• Azzalini, A. (1985). A class of distributions which includes the normal ones. Scandinavian Journal of Statistics, 12(2), 171-178.
• Azzalini, A., and Capitanio, A. (2014). The Skew-Normal and Related Families. Cambridge University Press.
• Babu, G. J., and Rao, C. R. (2004). Goodness-of-fit tests when parameters are estimated. Sankhya, 66, 63-74.
• Mateu-Figueras, G., Puig, P., and Pewsey, A. (2007). Goodness-of-fit tests for the skew-normal distribution when the parameters are estimated from the data. Communications in Statistics-Theory and Methods, 36(9), 1735-1755. https://doi.org/10.1080/03610920601126217

PBGoF documentation built on Oct. 2, 2026, 5:09 p.m.