We present the sampling distributions for the coefficient of skewness, kurtosis, and a joint test of normality for time series observations. We show that when the data are serially correlated, ...

These tests often employ advanced metrics, such as weighted L2-statistics and comparisons via the moment generating function, to sensitively detect departures from normality.

A test of the composite hypothesis of normality is introduced. The test is based on the property of the normal distribution that its entropy exceeds that of any other distribution with a density that ...