The distribution of the Anderson Darling statistic

Abstract

The Anderson-Darling test for normality is attractive for heavy-tailed alternatives, and is easy to compute. Its null distribution is not known, and p values are currently computed using a simulation-based approximation with 17 parameters. An alternative using the Box-Cox transformation gives an approximation which uses only 5 parameters and is also more accurate, particularly in the relevant tail area.

Keywords:

• Box Cox transformation
• Estimation
• Normality testing