The performance of univariate goodness-of-fit tests for normality based on the empirical characteristic function in large samples

Abstract

An empirical power comparison is made between two tests based on the empirical characteristic function and some of the best performing tests for normality. A simple normality test based on the empirical characteristic function calculated in a single point is shown to outperform the more complicated Epps-Pulley test and the frequentist tests included in the study in large samples.

5 figures, 5 tables