A goodness-of-fit test for normality based on polynomial regression

  • Authors:
  • Daniele Coin

  • Affiliations:
  • Department of Statistics and Applied Mathematics, University of Torino, piazza Arbarello 8, 10100 Torino, Italy

  • Venue:
  • Computational Statistics & Data Analysis
  • Year:
  • 2008

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Abstract

Statistical models are often based on normal distributions and procedures for testing such distributional assumption are needed. Many goodness-of-fit tests are available. However, most of them are quite insensitive in detecting non-normality when the alternative distribution is symmetric. On the other hand all the procedures are quite powerful against skewed alternatives. A new test for normality based on a polynomial regression is presented. It is very effective in detecting non-normality when the alternative distribution is symmetric. A comparison between well known tests and this new procedure is performed by simulation study. Other properties are also investigated.