Professional Documents
Culture Documents
A Suggestion For Using Powerful and Informative Tests For Normality
A Suggestion For Using Powerful and Informative Tests For Normality
Your use of the JSTOR archive indicates your acceptance of the Terms & Conditions of Use, available at .
http://www.jstor.org/page/info/about/policies/terms.jsp
JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of
content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms
of scholarship. For more information about JSTOR, please contact support@jstor.org.
American Statistical Association is collaborating with JSTOR to digitize, preserve and extend access to The
American Statistician.
http://www.jstor.org
Commentariesare informativeessays dealing with viewpoints of statis- involve longer discussions of background, issues, and perspectives. All
tical practice, statistical education, and other topics considered to be commentarieswill be refereed for their merit and compatibilitywith these
of general interest to the broad readershipof The American Statistician. criteria.
Commentaries are similar in spirit to Letters to the Editor, but they
For testing that an underlyingpopulation is normally dis- tosis, respectively. The extensive power studies just men-
tributedthe skewness and kurtosis statistics, b1 and b2, tioned have also demonstratedconvincingly that the old
andthe D'Agostino-Pearson K2statisticthatcombinesthese warhorses, the chi-squared test and the Kolmogorov test
two statistics have been shown to be powerful and infor- (1933), have poor power propertiesand should not be used
mative tests. Their use, however, has not been as prevalent when testing for normality.
as their usefulness. We review these tests and show how Unfortunately,the preceding results have not been dis-
readilyavailableand popularstatisticalsoftwarecan be used seminatedvery well. The chi-squaredand Kolmogorovtests
to implement them. Their relationshipto deviations from are still suggested in textbooks for testing for normality.
linearity in normal probabilityplotting is also presented. Majorstatisticalpackages such as SAS and SPSSX perform
the excellent Shapiro-Wilk W test for sample sizes up to
KEY WORDS: Eb, b2; D'Agostino-Pearson K2; Kur- 50. For larger samples, however, they supply the poor-
tosis; Normal probabilityplot; Skewness. power Kolmogorov test. These statisticalpackages do give
skewness and kurtosis measures. They are not, however,
the b1 and b2 statistics. Ratherthey are functionsof these,
1. INTRODUCTION the so-called Fisher g statistics (Fisher 1973). The docu-
Tests of normalityare statisticalinferenceproceduresde- mentation on this latter point is very incomplete. In our
signed to test that the underlyingdistributionof a random experience, many users are unawareof it, and descriptive
variable is normally distributed.There is a long history of evaluationof normalityor nonnormalityis confusedbecause
these tests, and there are a plethora of them available for of it. Hypothesis testing using the powerful Wband b2 is
use (D'Agostino 1971; D'Agostinoand Stephens1986, chap. not presentedor even suggested.
9). Majorstudies investigatingthe statisticalpower of these In this article, we discuss the skewness, 4b, and kur-
over a wide range of alternative distributionshave been tosis, b2, statistics and indicate how they are excellent de-
undertaken,and a reasonablyconsistentpicturehas emerged scriptive and inferentialmeasuresfor evaluatingnormality.
as to which of these should be recommendedfor use. See Further,we relate the Fisher g skewness and kurtosismea-
D'Agostino and Stephens (1986, chap. 9) for a review of sures producedby the SAS and SPSSX software packages
these power studies. The Shapiro-Wilk W test (Shapiroand to b1and b2and show how a simple program(SAS macro)
Wilk 1965), the third sample moment ( b1) and fourth can be used to produce an excellent, informativeanalysis
sample moment (b2) tests, and the D'Agostino-Pearson K2 for investigatingnormality. This analysis contains separate
test combiningthese (D'Agostino and Pearson1973) emerge tests based on Ab7and b2 and the K2 test, which combines
as excellent tests. The WandK2tests sharethe fine property Vb7 and b2 for an omnibus test. Finally, we indicate how
of being omnibus tests, in that they have good power prop- the precedingcan be used in conjunctionwith normalprob-
erties over a broad range of nonnormaldistributions.The ability plotting. The latter gives an informativegraphical
b1 and b2 tests have excellent properties for detecting component to an analysis for normality.
nonnormalityassociated with skewness and nonnormalkur-
2. POPULATION-MOMENTS DESCRIPTION OF
NORMALITY AND NONNORMALITY
*Ralph B. D'Agostino is Chairmanand Professor, MathematicsDe-
A population, or its random variable X, is said to be
partment,Boston University, Boston, MA 02215. Albert Belangeris Stat-
istician, Statistics and Consulting Unit, Boston University, Boston, MA normally distributedif its density function is given by
02215. Ralph B. D'Agostino, Jr., is a graduate student, Statistics De- 1 _ I b-r y m < x < m0
partment, Harvard University, Cambridge, MA 02138. This work was
supported in part by National Heart Lung and Blood InstituteGrant 1- f(x) 1 e 2 -?? < x < m(
RO -HL-40423-02.
V2-iTo- >0
316 The American Statistician, November 1990, Vol. 44, No. 4 ?) 1990 American Statistical Association
Here , and a- are the mean and standarddeviation, respec- tails are lighter than the normal tend to have /2 < 3. In
tively, of it. Of interest here are the third and fourth stan- terms of their peak, it tends to be broaderthan the normal
dardized moments given by (platykurtic).Readers are referredto D'Agostino and Ste-
phens (1986) for furtherdiscussion of these and to Balanda
E(X - ,u)3 E(X -
1 =[E(X a-3 and MacGillivray (1988) for a detailed discussion of kur-
(2)-
-_ tosis. D'Agostino and Stephens (1986) also gave examples
and of well-known nonnormaldistributionsindexedby /i and
P2-
E(X - )4 _E(X
-3
32
132 = 22[E(X
( - 2 (3) 3. SAMPLE MOMENTS AS INDICATORS OF
NONNORMALITY
where E is the expected value operator. These moments
measure skewness and kurtosis, respectively, and for the Karl Pearson (1895) was the first to suggest that the
normal distributionthey are equal to 0 and 3, respectively. sample estimates of f31and /2 could be used to describe
The nonnormalityof a populationcan be describedby values nonnormaldistributionsand used as the bases for tests of
of its central moments differing from the normal values. normality. For a sample of size n, XI, . ., X,1the sample
The normal distribution is symmetric, so 138= 0. A estimates of /31 and /32 are, respectively,
nonnormaldistributionthat is asymmetricalhas a value of m3l 32 (4)
N =
\7,j = 0 (see Fig. 1); 138> 0 correspondsto skewness
to the right and 13f< 0 correspondsto skewness to the and
left. b= m4/m2, (5)
The word kurtosis means "curvature,"and it has tradi-
tionally been measuredby the fourth standardizedmoment where
132. For the normal distribution, its value is 3. Figure 1 mk (Xi - X)kln (6)
displays two nonnormaldistributionsin which 132 3. Un-
imodal distributionswhose tails are heavier or thickerthan and X is the sample mean
the normal have 132 > 3. These distributionsalso tend to X = ZXi,/. (7)
have higher peaks in the center of the distribution,and in
the past these distributionswere often describedin terms of As descriptive statistics, values of Nb and b2 close to 0
the high peaks (leptokurtic).Unimodaldistributionswhose and 3, respectively, indicate normality.To be more precise
the expected values of these are 0 and 3(n - 1)/(n + 1)
undernormality. Values differing from these are indicators
A B C of nonnormality. The signs and magnitudesof these give
informationabout the type of nonnormality[e.g., /b >
ocorrespondsto positive skewness and b2 > 3(n- -)(n
+ 1) relates to heavy tails in the populationdistribution].
5
Y= b{( 6(n-)( ) n' (8)
Figure 1. Illustrationof DistributionsWith\/ # 0 and 132 # 3;
DistributionsDifferingin Skewness and-Differingin Kurtosisfrom
the NormalDistribution;Top panel: A, Vii > 0; B, X/ = 0; C, 3(n2 ? 27n - 70)(n ? 1)(n ? 3),
V, <0O;Bottompanel: A, 132- 3; B, (32 < 3; C, (32 > 3.
(n- 2) (n- 3)
i
where Z = ( n + 1/4) on X(i)' (26)
where X(i) is the ith ordered observationfrom the ordered
n - X)2 (23) sample X(l) ' ' X(1t)and
...
n - I n-1
i -
is the sample variance. Z =F1( 3/8) (27)
These are related to Vbj and b2 via the following:
is the Z value such that
(n 2) (24)
i- 3/8 V 2-
2dx (28)
and n + 1/4 f x 2;;e
*
350 +
* *
325+ *
H *
0 300- *
L~~~~~~~~~~~~~~~~~~~
E ~~~~~~~~~~~~~~~~~**
275 +
T**
E**
R ***
Q 250 +
**
L ~~~~~~~~~~~~~**
**
225 + **
**
**
* **+
200 + * **
*
*
175 +
150 +
-3 -2 -1 0 1 2 3
NORMALIZED
RANK
Figure2. NormalProbabilityPlot of CholesterolData.
x ~~~~x
x ~~~~~~x x x
z z zz
Indication: Mixture Truncated Truncated Outlier
of Normals at Left at Right at Right
@20 G2 = 8.5 @33 B2 = 8.5 @50 "Z=" ZB2 8.5" Balanda, K. P., and MacGillivray, H. L. (1988), "Kurtosis:A Critical
P= " PRZB26.4// Review," The American Statistician, 42, 111-1 19.
Blom, G. (1958), Statistical Estimates and Trantsformed Beta Variables,
@33 '(K**2=CmHSQ (2 DF) =" CHITEST 8.5 " P=" New York: John Wiley.
PRCHI6.4; D'Agostino, R. B. (1970), "Transformationto Normalityof the Null Dis-
%MENDNORMTEST; tributionof gl," Biometrika, 57, 679-681.
(1971), "An OmnibusTest of Normalityfor Moderateand Large
/* The SAS optionsMACRO,DQUOTEand *, Sample Size," Biometrika, 58, 341-348.
D'Agostino, R. B., and Pearson, E. S. (1973), "Testing for Departures
/* LINESIZE= 80 must *, From Normality. 1. Fuller Empirical Results for the Distributionof b,
/* be in effect. *, and \/ib," Biometrika, 60, 613-622.
I* *, D'Agostino, R. B., and Stephens, M. A. (1986), Goodness-of-fit Tech-
/* Exampleof a statementto executethe macroabove: *, niques, New York: Marcel Dekker.
/* %NORMTEST(CHOL,DATA1) Fisher, R. A. (1973), StatisticalMethodsfor Research Workers(14th ed.),
*,
New York: Hafner Publishing.
I* *, Kolmogorov, A. (1933), "Sulla DeterminazioneEmpirica di una Legge
[Received April 1989. Revised January 1990.] di Distribuzione," Giornalle dell'InstitutoItaliano degli Attuari, 4, 83-
91.
Pearson, K. (1895), "Contributionsto the MathematicalTheory of Evo-
REFERENCES lution," Philosophical Transactionsof the Royal Society of London, 9 1,
343-358.
Anscombe, F. J., and Glynn, W. J. (1983), "Distributionof the Kurtosis Shapiro, S. S., and Wilk, M. B. (1965), "An Analysis of VarianceTest
Statistic b, for Normal Statistics," Biometrika, 70, 227-234. for Normality (Complete Samples)," Biometrika, 52, 591-61 1.