Lilliefors/Van Soests test of normality

Herv Abdi1 & Paul Molin

1 Overview
The normality assumption is at the core of a majority of standard statistical procedures, and it is important to be able to test this assumption. In addition, showing that a sample does not come from a normally distributed population is sometimes of importance per se. Among the many procedures used to test this assumption, one of the most well-known is a modication of the Kolomogorov-Smirnov test of goodness of t, generally referred to as the Lilliefors test for normality (or Lilliefors test, for short). This test was developed independently by Lilliefors (1967) and by Van Soest (1967). The null hypothesis for this test is that the error is normally distributed (i.e., there is no difference between the observed distribution of the error and a normal distribution). The alternative hypothesis is that the error is not normally distributed. Like most statistical tests, this test of normality denes a criterion and gives its sampling distribution. When the probability associated with the criterion is smaller than a given -level, the
In: Neil Salkind (Ed.) (2007). Encyclopedia of Measurement and Statistics. Thousand Oaks (CA): Sage. Address correspondence to: Herv Abdi Program in Cognition and Neurosciences, MS: Gr.4.1, The University of Texas at Dallas, Richardson, TX 750830688, USA E-mail: herve@utdallas.edu http://www.utd.edu/herve
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H. Abdi & P. Molin: Lilliefors / Van Soest Normality Test

alternative hypothesis is accepted (i.e., we conclude that the sample does not come from a normal distribution). An interesting peculiarity of the Lilliefors test is the technique used to derive the sampling distribution of the criterion. In general, mathematical statisticians derive the sampling distribution of the criterion using analytical techniques. However in this case, this approach fails and consequently, Lilliefors decided to calculate an approximation of the sampling distribution by using the Monte-Carlo technique. Essentially, the procedure consists of extracting a large number of samples from a Normal Population and computing the value of the criterion for each of these samples. The empirical distribution of the values of the criterion gives an approximation of the sampling distribution of the criterion under the null hypothesis. Specically, both Lilliefors and Van Soest used, for each sample size chosen, 1000 random samples derived from a standardized normal distribution to approximate the sampling distribution of a Kolmogorov-Smirnov criterion of goodness of t. The critical values given by Lilliefors and Van Soest are quite similar, the relative error being of the order of 102 . According to Lilliefors (1967) this test of normality is more powerful than others procedures for a wide range of nonnormal conditions. Dagnelie (1968) indicated, in addition, that the critical values reported by Lilliefors can be approximated by an analytical formula. Such a formula facilitates writing computer routines because it eliminates the risk of creating errors when keying in the values of the table. Recently, Molin and Abdi (1998), rened the approximation given by Dagnelie and computed new tables using a larger number of runs (i.e., K = 100, 000) in their simulations.

2 Notation
The sample for the test is made of N scores, each of them denoted X i . The sample mean is denoted M X is computed as MX = 1 N
N

Xi ,
i

(1)

H. Abdi & P. Molin: Lilliefors / Van Soest Normality Test

the sample variance is denoted

N

S2 = X

(X i M X )2 N 1

(2)

and the standard deviation of the sample denoted S X is equal to the square root of the sample variance. The rst step of the test is to transform each of the X i scores into Z -scores as follows: Zi = Xi MX . SX (3)

For each Zi -score we compute the proportion of score smaller or equal to its value: This is called the frequency associated with this score and it is denoted S (Zi ). For each Zi -score we also compute the probability associated with this score if is comes from a standard normal distribution with a mean of 0 and a standard deviation of 1. We denote this probability by N (Zi ), and it is equal to Zi 1 1 exp Zi2 . (4) N (Zi ) = 2 2 The criterion for the Lilliefors test is denoted L. It is calculated from the Z-scores, and it is equal to

L = max {|S (Zi ) N (Zi )|, |S (Zi ) N (Zi 1 )|} .

i

(5)

So L is the absolute value of the biggest split between the probability associated to Zi when Zi is normally distributed, and the frequencies actually observed. The term |S (Zi )N (Zi 1 )| is needed to take into account that, because the empirical distribution is discrete, the maximum absolute difference can occur at either endpoints of the empirical distribution. The critical values are given by Table 2. Lcritical is the critical value. The Null hypothesis is rejected when the L criterion is greater than or equal to the critical value Lcritical .

H. Abdi & P. Molin: Lilliefors / Van Soest Normality Test

3 Numerical example
As an illustration, we will look at an analysis of variance example for which we want to test the so-called normality assumption that states that the within group deviations (i.e., the residuals) are normally distributed. The data are from Abdi (1987, p. 93ff.) and correspond to memory scores obtained by 20 subjects who were assigned to one of 4 experimental groups (hence 5 subjects per group). The score of the sth subject in the ath group is denoted Y a,s , and the mean of each group is denoted M a. . The within-group mean square MSS(A) is equal to 2.35, it correspond to the best estimation of the population error variance. G. 1 3 3 2 4 3 15 3 G. 2 5 9 8 4 9 35 7 G. 3 2 4 5 4 1 16 3.2 G. 4 5 4 3 5 4 21 4.2

Y a. M a.

The Normality assumption states that the error is normally distributed. In the analysis of variance framework, the error corresponds to the residuals which are equal to the deviations of the scores to the mean of their group. So in order to test the normality assumption for the analysis of variance, the rst step is to compute the residuals from the scores. We denote X i the residual corresponding to the i th observation (with i going from 1 to 20). The residuals are given in the following table: Y as Xi Y as Xi 3 0 2 1.2 3 0 4 .8 2 1 5 1.8 4 1 4 .8 3 0 1 2.2 5 2 5 .8 9 2 4 .2 8 1 3 1.2 4 3 5 .8 9 2 4 .2

H. Abdi & P. Molin: Lilliefors / Van Soest Normality Test

Next we transform the X i values into Zi values using the following formula: Xi (6) Zi = MSS(A) because MSS(A) is the best estimate of the population variance, and the mean of X i is zero. Then, for each Zi value, the frequency associated with S (Zi ) and the probability associated with Zi under the Normality condition N (Zi ) are computed [we use a table of the Normal Distribution to obtain N (Zi )]. The results are presented in Table 1. The value of the criterion is (see Table 1)

L = max{|S (Zi ) N (Zi )|, |S (Zi ) N (Zi 1 )|} = .250 .

i

(7)

Taking an level of = .05, with N = 20, we nd (from Table 2) that the critical value is equal Lcritical = .192. Because L is larger than Lcritical , the null hypothesis is rejected and we conclude that the residuals in our experiment are not distributed normally.

4 Numerical approximation
The available tables for the Lilliefors test of normality typically report the critical values for a small set of alpha values. For example, the present table reports the critical values for = [.20, .15, .10, .05, .01]. These values correspond to the alpha values used for most tests involving only one null hypothesis, as this was the standard procedure in the late sixties. The current statistical practice, however, favors multiple tests (maybe as a consequence of the availability of statistical packages). Because using multiple tests increases the overall Type I error (i.e., the Familywise Type I error or P F ), it has become customary to recommend testing each hypothesis with a corrected level (i.e., the Type I error per comparison, or PC ) such as the Bonferonni or Sidk corrections. For example, using a Bonferonni approach with a familywise value of P F = .05, and 5

H. Abdi & P. Molin: Lilliefors / Van Soest Normality Test

Table 1: How to compute the criterion for the Lilliefors test of normality. Ni stands for the absolute frequency of a given value of X i , Fi stands for the absolute frequency associated with a given value of X i (i.e., the number of scores smaller or equal to X i ), Zi is the Z -score corresponding to X i , S (Zi ) is the proportion of scores smaller than Zi , N (Zi ) is the probability associated with Zi for the standard normal distribution, D 0 =| S (Zi ) N (Zi ) |, D 1 =| S (Zi ) N (Zi 1 ) |, and max is the maximum of {D 0 , D 1 }. The value of the criterion is L = .250.

Xi 3.0 2.2 2.0 1.2 1.0 .2 .0 .8 1.0 1.8 2.0

Ni 1 1 1 2 1 2 3 4 2 1 2

Fi 1 2 3 5 6 8 11 15 17 18 20

Zi 1.96 1.44 1.30 .78 .65 .13 .00 .52 .65 1.17 1.30

S (Zi ) .05 .10 .15 .25 .30 .40 .55 .75 .85 .90 1.00

N (Zi ) .025 .075 .097 .218 .258 .449 .500 .699 .742 .879 .903

D0 .025 .025 .053 .032 .052 .049 .050 .051 .108 .021 .097

D 1 .050 .075 .074 .154 .083 .143 .102 .250 .151 .157 .120

max .050 .075 .074 .154 .083 .143 .102 .250 .151 .157 .120

testing J = 3 hypotheses requires that each hypothesis is tested at the level of PC = 1 P F = 1 .05 = .0167 . (8) J 3 With a Sidk approach, each hypothesis will be tested at the level of 1 1 (9) PC = 1 (1 P F ) J = 1 (1 .05) 3 = .0170 . As this example illustrates, both procedures are likely to require using different levels than the ones given by the tables. In fact, it is rather unlikely that a table could be precise enough to provide the wide range of alpha values needed for multiple testing purposes. A 6

H. Abdi & P. Molin: Lilliefors / Van Soest Normality Test

more practical solution is to generate the critical values for any alpha value, or, alternatively, to obtain the probability associated to any value of the Kolmogorov-Smirnov criterion. Such an approach can be implemented by approximating the sampling distribution on the y" for each specic problem and deriving the critical values for unusual values of . Another approach to nding critical values for unusual values of , is to nd a numerical approximation for the sampling distributions. Molin and Abdi (1998) proposed such an approximation and showed that it was accurate for at least the rst two signicant digits. Their procedure, somewhat complex, is better implemented with a computer and comprises two steps. The rst step is to compute a quantity called A obtained from the following formula: (b 1 + N ) + (b 1 + N )2 4b 2 b 0 L2 2b 2

A= with

(10)

b 0 = 0.37872256037043 .

b 1 = 1.30748185078790

b 2 = 0.08861783849346 (11)

The second step implements a polynomial approximation and estimates the probability associated to a given value L as: Pr(L) .37782822932809 + 1.67819837908004A

3.02959249450445A 2 + 2.80015798142101A 3

1.39874347510845A 4 + 0.40466213484419A 5

0.06353440854207A 6 + 0.00287462087623A 7 + 0.00000575586834A 10 .

+ 0.00069650013110A 8 0.00011872227037A 9 (12)

For example, suppose that we have obtained a value of L = .1030 from a sample of size N = 50. (Table 2 shows that Pr(L) = .20.) 7

H. Abdi & P. Molin: Lilliefors / Van Soest Normality Test

To estimate Pr(L) we need rst to compute A, and then use this value in Equation 12. From Equation 10, we compute the estimate of A as: A= (b 1 + N ) + (b 1 + N )2 4b 2 b 0 L2 2b 2 (b 1 + 50) + (b 1 + 50)2 4b 2 b 0 .10302 2b 2 (13)

= 1.82402308769590 . Plugging in this value of A in Equation 12 gives Pr(L) = .19840103775379 .20 .

(14)

As illustrated by this example, the approximated value of Pr(L) is correct for the rst two decimal values.

References
[1] Abdi, H. (1987). Introduction au traitement statistique des donnes exprimentales. Grenoble: Presses Universitaires de Grenoble. [2] Dagnelie, P. (1968). A propos de lemploi du test de Kolmogorov-Smirnov comme test de normalit, Biomtrie et Praximtrie 9, 313. [3] Lilliefors, H. W. (1967). On the Kolmogorov-Smirnov test for normality with mean and variance unknown, Journal of the American Statistical Association, 62, 399402. [4] Molin, P., Abdi H. (1998). New Tables and numerical approximation for the KolmogorovSmirnov/Lillierfors/Van Soest test of normality. Technical report, University of Bourgogne. Available from www.utd.edu/herve/MA_Lilliefors98.pdf. [5] Van Soest, J. (1967). Some experimental results concerning tests of normality. Statistica. Neerlandica, 21, 9197, 1967. 8

Table 2: Table of the critical values for the Kolmogorov-Smirnov/Lillefors test of normality obtained with K = 100, 000 samples

value can be found by using f N =

for each sample size. The intersection of a given row and column shows the critical value Lcritical for the sample size labelling the row and the alpha level labelling the column. For N > 50 the critical
.83 + N N .01.

= .20 .3027 .2893 .2694 .2521 .2387 .2273 .2171 .2080 .2004 .1932 .1869 .1811 .1758 .1711 .1666 .1624 .1589 .1553 .1517 .1484 .1458 .1429 .1406 .1381 .1358

= .15 .3216 .3027 .2816 .2641 .2502 .2382 .2273 .2179 .2101 .2025 .1959 .1899 .1843 .1794 .1747 .1700 .1666 .1629 .1592 .1555 .1527 .1498 .1472 .1448 .1423

= .10 .3456 .3188 .2982 .2802 .2649 .2522 .2410 .2306 .2228 .2147 .2077 .2016 .1956 .1902 .1852 .1803 .1764 .1726 .1690 .1650 .1619 .1589 .1562 .1533 .1509

= .05 .3754 .3427 .3245 .3041 .2875 .2744 .2616 .2506 .2426 .2337 .2257 .2196 .2128 .2071 .2018 .1965 .1920 .1881 .1840 .1798 .1766 .1726 .1699 .1665 .1641

= .01 .4129 .3959 .3728 .3504 .3331 .3162 .3037 .2905 .2812 .2714 .2627 .2545 .2477 .2408 .2345 .2285 .2226 .2190 .2141 .2090 .2053 .2010 .1985 .1941 .1911

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28

Table continues on the following page . . .

H. Abdi & P. Molin: Lilliefors / Van Soest Normality Test

Table 3: . . . Continued. Table of the critical values for the Kolmogorov-Smirnov/Lillefors test of normality obtained with K = 100, 000

samples for each sample size. The intersection of a given row and column shows the critical value Lcritical for the sample size labelling the row and the alpha level labelling the column. For N > 50 the critical value can be found by using f N =
.83 + N N .01.

= .20 .1334 .1315 .1291 .1274 .1254 .1236 .1220 .1203 .1188 .1174 .1159 .1147 .1131 .1119 .1106 .1095 .1083 .1071 .1062 .1047 .1040 .1030 0.741 fN

= .15 .1398 .1378 .1353 .1336 .1314 .1295 .1278 .1260 .1245 .1230 .1214 .1204 .1186 .1172 .1159 .1148 .1134 .1123 .1113 .1098 .1089 .1079 0.775 fN

= .10 .1483 .1460 .1432 .1415 .1392 .1373 .1356 .1336 .1320 .1303 .1288 .1275 .1258 .1244 .1228 .1216 .1204 .1189 .1180 .1165 .1153 .1142 0.819 fN

= .05 .1614 .1590 .1559 .1542 .1518 .1497 .1478 .1454 .1436 .1421 .1402 .1386 .1373 .1353 .1339 .1322 .1309 .1293 .1282 .1269 .1256 .1246 0.895 fN

= .01 .1886 .1848 .1820 .1798 .1770 .1747 .1720 .1695 .1677 .1653 .1634 .1616 .1599 .1573 .1556 .1542 .1525 .1512 .1499 .1476 .1463 .1457 1.035 fN

29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50
> 50

10