A Goodness of Fit Test for Non-Gaussian Distributions with Unknown Location and Scale Parameters

This paper studies computational aspects of an asymptotically distribution-free goodness-of-fit test for non-Gaussian distributions based on the Khmaladze martingale transformation when the location and scale parameters of the distribution are unknown. On top of that, we propose another goodness-of-fit test better than existing one in terms of a statistical power. Simulation studies demonstrate that the proposed test compares favorably with the existing test.