Monte carlo comparison of four normality tests using different entropy estimates

Esteban, M. D.;Castellanos, M. E.;Morales, D.;Vajda, I.

2001-01-01

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Abstract

The paper studies four entropy tests of normality of real valued observations using four statistics based on different entropy estimates from n i.i.d. observations. For the test size α = 0.05 and sample sizes 5 < n < 50, it presents critical values of the test statistics. It also compares the power and robustness of these four tests using Monte Carlo computations for sample sizes n = 10 and n -20. Preferences between the tests based on these computations can be extrapolated for small sample sizes.