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Comparison of selected tests for univariate normality based on measures of moments

Author

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  • Domański Czesław

    (Department of Statistical Methods, The Faculty of Economics and Sociology, University of Lodz, Lodz, ; Poland .)

  • Szczepocki Piotr

    (Department of Statistical Methods, The Faculty of Economics and Sociology, University of Lodz, Lodz, ; Poland .)

Abstract

Univariate normality tests are typically classified into tests based on empirical distribution, moments, regression and correlation, and other. In this paper, power comparisons of nine normality tests based on measures of moments via the Monte Carlo simulations is extensively examined. The effects on power of the sample size, significance level, and on a number of alternative distributions are investigated. None of the considered tests proved uniformly most powerful for all types of alternative distributions. However, the most powerful tests for different shape departures from normality (symmetric short-tailed, symmetric long-tailed or asymmetric) are indicated.

Suggested Citation

  • Domański Czesław & Szczepocki Piotr, 2020. "Comparison of selected tests for univariate normality based on measures of moments," Statistics in Transition New Series, Polish Statistical Association, vol. 21(5), pages 151-178, December.
    • Handle: RePEc:vrs:stintr:v:21:y:2020:i:5:p:151-178:n:3
    DOI: 10.21307/stattrans-2020-060
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