The Power to See: A New Graphical Test of Normality

Sivan Aldor-Noiman, Lawrence D. Brown, Andreas Buja, Wolfgang Rolke and Robert A. Stine

The American Statistician, 2013, vol. 67, issue 4, 249-260

Abstract: Many statistical procedures assume that the underlying data-generating process involves Gaussian errors. Among the popular tests for normality, only the Kolmogorov--Smirnov test has a graphical representation. Alternative tests, such as the Shapiro--Wilk test, offer little insight as to how the observed data deviate from normality. In this article, we discuss a simple new graphical procedure which provides simultaneous confidence bands for a normal quantile--quantile plot. These bands define a test of normality and are narrower in the tails than those related to the Kolmogorov--Smirnov test. Correspondingly, the new procedure has greater power to detect deviations from normality in the tails. Supplementary materials for this article are available online.

Date: 2013
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Citations: View citations in EconPapers (10)

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DOI: 10.1080/00031305.2013.847865

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