A new goodness of fit test for normal distribution based on Stein's characterization

01/22/2020

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by   Sudheesh Kattumannil, et al.

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We develop a new non-parametric test for testing normal distribution using Stein's characterization. We study asymptotic properties of the test statistic. We also develop jackknife empirical likelihood ratio test for testing normality. Using Monte Carlo simulation study, we evaluate the finite sample performance of the proposed JEL based test. Finally, we illustrate our test procedure using two real data.