A Test for Normality Based on Sample Entropy

Summary A test of the composite hypothesis of normality is introduced. The test is based on the property of the normal distribution that its entropy exceeds that of any other distribution with a density that has the same variance. The test statistic is based on a class of estimators of entropy constructed here. The test is shown to be a consistent test of the null hypothesis for all alternatives without a singular continuous part. The power of the test is estimated against several alternatives. It is observed that the test compares favourably with other tests for normality.