Under a suitable reparameterization we show that the locally best invariant test for normality in the class of skew-normal alternatives (Azzalini,1985), provided by Salvan (1986), represents an upper bound for the Jeffreys divergenge between prior and posterior distributions of the skewness parameter.
A Bayesian test for normality against skewed alternatives.
CAROTA, Cinzia
2008-01-01
Abstract
Under a suitable reparameterization we show that the locally best invariant test for normality in the class of skew-normal alternatives (Azzalini,1985), provided by Salvan (1986), represents an upper bound for the Jeffreys divergenge between prior and posterior distributions of the skewness parameter.
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