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We introduce a new goodness of fit test for normality based on Balakrishnan-Sanghvi divergence measure. In order to estimate the divergence measure, we use a method similar to Vasicek's for estimating the Shannon entropy. Also, the test statistic based on kernel density estimation is investigated. Critical values and the power of tests are computed by Monte Carlo simulation. It is shown that the tests are consistent. Further, by comparing the power of proposed tests with other normality tests, we suggest the new entropic based test according to Balakrishnan-Sanghvi divergence measure using Vasicek method.
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Tavakoli et al. (2019) studied this question.
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