Mathematics and Statistics Vol. 9(6), pp. 994 - 1003
DOI: 10.13189/ms.2021.090615
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Power Comparisons of Normality Tests Based on L-moments and Classical Tests

Ivana Mala *, Vaclav Sladek , Diana Bilkova
Faculty of Informatics and Statistics, Prague University of Economics and Business, Prague, Czech Republic


Normality tests are used in the statistical analysis to determine whether a normal distribution is acceptable as a model for the data analysed. A wide range of available tests employs different properties of normal distribution to compare empirical and theoretical distributions. In the present paper, we perform the Monte Carlo simulation to analyse test power. We compare commonly known and applied tests (standard and robust versions of the Jarque-Bera test, Lilliefors test, chi-square goodness-of-fit test, Shapiro-Francia test, Cramer-von Mises goodness-of-fit test, Shapiro-Wilk test, D'Agostino test, and Anderson-Darling test) to the test based on robust L-moments. In the text, in Jarque-Bera type test the moment characteristics of skewness and kurtosis are replaced with their robust versions - L-skewness and L-kurtosis. The distributions with heavy tails (lognormal, Weibull, loglogistic and Student) are used to draw random samples to show the performance of tests when applied on data with outliers. Small sample properties (from 10 observations) are analysed up to large samples of 200 observations. Our results concerning the properties of the classical tests are in line with the conclusion of other recent articles. We concentrate on properties of the test based on L-moments. This normality test is comparable to well-performing and reliable tests; however, it is outperformed by the most powerful Shapiro-Wilks and Shapiro-Francia tests. It works well for Student (symmetric) distribution, comparably with the most frequently used Jarque-Berra tests. As expected, the test is robust to the presence of outliers in comparison with sensitive tests based on product moments or correlations. The test turns out to be very universally reliable.

L-moments, Tests for Normality, Simulation, Power of Test, Robustnessout

Cite This Paper in IEEE or APA Citation Styles
(a). IEEE Format:
[1] Ivana Mala , Vaclav Sladek , Diana Bilkova , "Power Comparisons of Normality Tests Based on L-moments and Classical Tests," Mathematics and Statistics, Vol. 9, No. 6, pp. 994 - 1003, 2021. DOI: 10.13189/ms.2021.090615.

(b). APA Format:
Ivana Mala , Vaclav Sladek , Diana Bilkova (2021). Power Comparisons of Normality Tests Based on L-moments and Classical Tests. Mathematics and Statistics, 9(6), 994 - 1003. DOI: 10.13189/ms.2021.090615.