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arXiv · 2106.13962

Bahadur efficiencies of the Epps--Pulley test for normality

Bruno Ebner·Norbert Henze
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Abstract

The test for normality suggested by Epps and Pulley (1983) is a serious competitor to tests based on the empirical distribution function. In contrast to the latter procedures, it has been generalized to obtain a genuine affine invariant and universally consistent test for normality in any dimension. We obtain approximate Bahadur efficiencies for the test of Epps and Pulley, thus complementing recent results of Milo\v{s}evi\'c et al. (2021). For certain values of a tuning parameter that is inherent in the Epps--Pulley test, this test outperforms each of its competitors considered in Milo\v{s}evi\'c et al. (2021), over the whole range of six close alternatives to normality.

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Bruno Ebner, Norbert Henze. 2021-06-26. Bahadur efficiencies of the Epps--Pulley test for normality. https://arxiv.org/abs/2106.13962

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