An Empirical Likelihood Ratio-Based Omnibus Test for Normality with an Adjustment for Symmetric Alternatives

An omnibus test for normality with an adjustment for symmetric alternatives is developed using the empirical likelihood ratio technique. We first transform the raw data via a jackknife transformation technique by deleting one observation at a time. The probability integral transformation was then applied on the transformed data, and under the null hypothesis, the transformed data have a limiting uniform distribution, reducing testing for normality to testing for uniformity. Employing the empirical likelihood technique, we show that the test statistic has a chi-square limiting distribution. We also demonstrated that, under the established symmetric settings, the CUSUM-type and Shiryaev–Roberts test statistics gave comparable properties and power. The proposed test has good control of type I error. Monte Carlo simulations revealed that the proposed test outperformed studied classical existing tests under symmetric short-tailed alternatives. Findings from a real data study further revealed the robustness and applicability of the proposed test in practice.