Lilliefors test

In statistics, the Lilliefors test is a normality test based on the Kolmogorov–Smirnov test. It is used to test the null hypothesis that data come from a normally distributed population, when the null hypothesis does not specify which normal distribution; i.e., it does not specify the expected value and variance of the distribution.^[1] It is named after Hubert Lilliefors, professor of statistics at George Washington University.

A variant of the test can be used to test the null hypothesis that data come from an exponentially distributed population, when the null hypothesis does not specify which exponential distribution.^[2]

The test

The test proceeds as follows:^[1]

1. First estimate the population mean and population variance based on the data.
2. Then find the maximum discrepancy between the empirical distribution function and the cumulative distribution function (CDF) of the normal distribution with the estimated mean and estimated variance. Just as in the Kolmogorov–Smirnov test, this will be the test statistic.
3. Finally, assess whether the maximum discrepancy is large enough to be
   stochastically smaller than the Kolmogorov–Smirnov distribution. This is the Lilliefors distribution. To date, tables for this distribution have been computed only by Monte Carlo methods
   .

In 1986 a corrected table of critical values for the test was published.[3]

See also

• Jarque–Bera test
• Shapiro–Wilk test

References