This article studies seven different tests of normality. The tests in question are Kolmogorov–Smirnov, Anderson–Darling, Kuiper, Jarque–Bera, Cramer von Mises, Shapiro–Wilk, and Vasicek. Each test is described and power comparisons are made by using Monte Carlo computations under various alternatives. The results are discussed and interpreted separately.
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Noughabi et al. (2010) studied this question.
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