Lilliefors test

In statistics, the Lilliefors test, named after Hubert Lil- 3 References

liefors, professor of statistics at George Washington Uni-
versity, is a normality test based on the Kolmogorov
Smirnov test. It is used to test the null hypothesis that 4 Sources
data come from a normally distributed population, when
the null hypothesis does not specify which normal dis- Lilliefors, H. (June 1967), On the Kolmogorov
tribution; i.e., it does not specify the expected value and Smirnov test for normality with mean and variance
variance of the distribution. unknown, Journal of the American Statistical Asso-
ciation, Vol. 62. pp. 399402.
Lilliefors, H. (1969), On the KolmogorovSmirnov
1 The test test for the exponential distribution with mean un-
known, Journal of the American Statistical Associ-
ation, Vol. 64 . pp. 387389.
The test proceeds as follows:
Dallal, G.E. (1986), An analytic approximation to
the distribution of Lillieforss test statistic for nor-
1. First estimate the population mean and population
mality, The American Statistician, Vol. 40. p. 40
variance based on the data.
294-296.
2. Then nd the maximum discrepancy between the Conover, W.J. (1999), Practical nonparametric
empirical distribution function and the cumulative statistics, 3rd ed. Wiley : New York.
distribution function (CDF) of the normal distribu-
tion with the estimated mean and estimated vari-
ance. Just as in the KolmogorovSmirnov test, this 5 External links
will be the test statistic.
US NIST Handbook of Statistics
3. Finally, assess whether the maximum discrepancy
is large enough to be statistically signicant, thus
requiring rejection of the null hypothesis. This is
where this test becomes more complicated than the
KolmogorovSmirnov test. Since the hypothesised
CDF has been moved closer to the data by estima-
tion based on those data, the maximum discrepancy
has been made smaller than it would have been if
the null hypothesis had singled out just one normal
distribution. Thus the null distribution of the test
statistic, i.e. its probability distribution assuming
the null hypothesis is true, is stochastically smaller
than the KolmogorovSmirnov distribution. This
is the Lilliefors distribution. To date, tables for
this distribution have been computed only by Monte
Carlo methods.

2 See also

Normality test

JarqueBera test

1
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