eptest

Epps-Pulley test for normality

Function eptest performs Epps-Pulley test for normality.

 [h,stat,stat_crit] = eptest(X,alpha)

Input arguments:

INPUT:

X - numerical row vector of real values, N>=8, where N=numel(X);

alpha - significance level, alpha = 0.05 by default.

Must be 0.01 <= alpha <= 0.15.

OUTPUT:

h - test result at significance level alpha, 0 - not rejected, 1 - rejected;

stat - Epps-Pulley statistics value;

stat_crit - interp. tabular critical value for Epps-Pulley statistics for 8<=N<=1000, interp. with beta-function III kind for N>1000.

EXAMPLE:

%Mechanical strength of viscose filament
%(Table 5 in [1])
X = [147,186,141,183,190,123,155,164,183,150,134,170,144,...
    99,156,176,160,174,153,162,167,179,78,173,168];
[h,stat,stat_crit] = eptest(X,0.01)
%h = 1
%stat = 0.6115
%stat_crit = 0.5700
%Null hypothesis rejected.
%Convert X to normal distribution
X = log(204-X);
%Repeat test
[h,stat,stat_crit] = eptest(X,0.01)
%h = 0
%stat = 0.0058
%stat_crit = 0.5700
%Null hypothesis not rejected.