Abstract
The paper studies four entropy tests of normality of real valued observations using four statistics based on different entropy estimates from n i.i.d. observations. For the test size α = 0.05 and sample sizes 5 ≤ n ≤ 50, it presents critical values of the test statistics. It also compares the power and robustness of these four tests using Monte Carlo computations for sample sizes n = 10 and n = 20. Preferences between the tests based on these computations can be extrapolated for small sample sizes.
ACKNOWLEDGMENTS
The research in this paper was supported in part by the grants GACR 102/99/1137, DGES PB96–0635 and GV99-159-1-01.