Comparisons of various types of normality tests

Normality tests can be classified into tests based on chi-squared, moments, empirical distribution, spacings, regression and correlation and other special tests. This paper studies and compares the power of eight selected normality tests: the Shapiro-Wilk test, the Kolmogorov-Smirnov test, the Lilli...

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Published in:	Journal of statistical computation and simulation Vol. 81; no. 12; pp. 2141 - 2155
Main Authors:	Yap, B. W., Sim, C. H.
Format:	Journal Article
Language:	English
Published:	Abingdon Taylor & Francis 01.12.2011 Taylor & Francis Ltd
Subjects:	Comparative studies Correlation analysis generalized lambda distribution Hypothesis testing kurtosis Monte Carlo simulation normality tests skewness
ISSN:	0094-9655, 1563-5163
Online Access:	Get full text
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Abstract	Normality tests can be classified into tests based on chi-squared, moments, empirical distribution, spacings, regression and correlation and other special tests. This paper studies and compares the power of eight selected normality tests: the Shapiro-Wilk test, the Kolmogorov-Smirnov test, the Lilliefors test, the Cramer-von Mises test, the Anderson-Darling test, the D'Agostino-Pearson test, the Jarque-Bera test and chi-squared test. Power comparisons of these eight tests were obtained via the Monte Carlo simulation of sample data generated from alternative distributions that follow symmetric short-tailed, symmetric long-tailed and asymmetric distributions. Our simulation results show that for symmetric short-tailed distributions, D'Agostino and Shapiro-Wilk tests have better power. For symmetric long-tailed distributions, the power of Jarque-Bera and D'Agostino tests is quite comparable with the Shapiro-Wilk test. As for asymmetric distributions, the Shapiro-Wilk test is the most powerful test followed by the Anderson-Darling test.
AbstractList	Normality tests can be classified into tests based on chi-squared, moments, empirical distribution, spacings, regression and correlation and other special tests. This paper studies and compares the power of eight selected normality tests: the Shapiro-Wilk test, the Kolmogorov-Smirnov test, the Lilliefors test, the Cramer-von Mises test, the Anderson-Darling test, the D'Agostino-Pearson test, the Jarque-Bera test and chi-squared test. Power comparisons of these eight tests were obtained via the Monte Carlo simulation of sample data generated from alternative distributions that follow symmetric short-tailed, symmetric long-tailed and asymmetric distributions. Our simulation results show that for symmetric short-tailed distributions, D'Agostino and Shapiro-Wilk tests have better power. For symmetric long-tailed distributions, the power of Jarque-Bera and D'Agostino tests is quite comparable with the Shapiro-Wilk test. As for asymmetric distributions, the Shapiro-Wilk test is the most powerful test followed by the Anderson-Darling test. [PUBLICATION ABSTRACT] Normality tests can be classified into tests based on chi-squared, moments, empirical distribution, spacings, regression and correlation and other special tests. This paper studies and compares the power of eight selected normality tests: the Shapiro-Wilk test, the Kolmogorov-Smirnov test, the Lilliefors test, the Cramer-von Mises test, the Anderson-Darling test, the D'Agostino-Pearson test, the Jarque-Bera test and chi-squared test. Power comparisons of these eight tests were obtained via the Monte Carlo simulation of sample data generated from alternative distributions that follow symmetric short-tailed, symmetric long-tailed and asymmetric distributions. Our simulation results show that for symmetric short-tailed distributions, D'Agostino and Shapiro-Wilk tests have better power. For symmetric long-tailed distributions, the power of Jarque-Bera and D'Agostino tests is quite comparable with the Shapiro-Wilk test. As for asymmetric distributions, the Shapiro-Wilk test is the most powerful test followed by the Anderson-Darling test.
Author	Sim, C. H. Yap, B. W.
Author_xml	– sequence: 1 givenname: B. W. surname: Yap fullname: Yap, B. W. email: yapbeewah@yahoo.com organization: Faculty of Computer and Mathematical Sciences , Universiti Teknologi MARA – sequence: 2 givenname: C. H. surname: Sim fullname: Sim, C. H. organization: Institute of Mathematical Sciences, University of Malaya
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