A power comparison and simulation study of goodness-of-fit tests

We give the results of a comprehensive simulation Study Of the power properties of prominent goodness-of-fit tests. For testing the normal N(mu, sigma(2)), we propose a new omnibus goodness-of-fit statistic C which is a combination of the Shapiro-Wilk statistic W and the correlation statistic R. We show that the test of normality based on C is overall more powerful than other prominent goodness-of-fit tests and is effective against boil) symmetric as well as skew alternatives. We also show that the null distribution of C can be approximated by a four-moment F. For the exponential E(theta, sigma), Tiku statistic Z (using simple spacings) and modified Anderson-Darling A are the most powerful. For testing the statistics based on generalized sample spacings and the modified other distributions, Anderson-Darling statistic provide the most powerful tests.