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A test for normality based on the empirical distribution function
Torabi, Hamzeh (Yazd University (Iran). Statistics Department)
Montazeri, Narges H. (Yazd University (Iran). Statistics Department)
Grané, Aurea (Universidad Carlos III de Madrid. Departamento de Estadística)

Data: 2016
Resum: In this paper, a goodness-of-fit test for normality based on the comparison of the theoretical and empirical distributions is proposed. Critical values are obtained via Monte Carlo for several sample sizes and different significance levels. We study and compare the power of forty selected normality tests for a wide collection of alternative distributions. The new proposal is compared to some traditionaltest statistics, such as Kolmogorov-Smirnov, Kuiper, Cramér-von Mises, Anderson-Darling, Pearson Chi-square, Shapiro-Wilk, Shapiro-Francia, Jarque-Bera, SJ, Robust Jarque-Bera, and also to entropy-based test statistics. From the simulation study results it is concluded that the best performance against asymmetric alternatives with support on the whole real line and alternative distributions with support on the positive real line is achieved by the new test. Other findings derivedfrom the simulation study are that SJ and Robust Jarque-Bera tests are the most powerful ones for symmetric alternatives with support on the whole real line, whereas entropy-based tests are preferable for alternatives with support on the unit interval.
Drets: Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial i la comunicació pública de l'obra, sempre que no sigui amb finalitats comercials, i sempre que es reconegui l'autoria de l'obra original. No es permet la creació d'obres derivades. Creative Commons
Llengua: Anglès.
Document: article ; recerca ; publishedVersion
Matèria: Empirical distribution function ; Entropy estimator ; Goodness-of-fit tests ; Monte Carlo simulation ; Robust Jarque-Bera test ; Shapiro-Francia test ; SJ test ; Test for normality
Publicat a: SORT : statistics and operations research transactions, Vol. 40 Núm. 1 (January-June 2016) , p. 55-88 (Articles) , ISSN 1696-2281

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