Cauchy combination omnibus test for normality

Testing whether data are from a normal distribution is a traditional problem and is of great concern for data analyses. The normality is the premise of many statistical methods, such as t-test, Hotelling T(2) test and ANOVA. There are numerous tests in the literature and the commonly used ones are Anderson-Darling test, Shapiro-Wilk test and Jarque-Bera test. Each test has its own advantageous points since they are developed for specific patterns and there is no method that consistently performs optimally in all situations. Since the data distribution of practical problems can be complex and diverse, we propose a Cauchy Combination Omnibus Test (CCOT) that is robust and valid in most data cases. We also give some theoretical results to analyze the good properties of CCOT. Two obvious advantages of CCOT are that not only does CCOT have a display expression for calculating statistical significance, but extensive simulation results show its robustness regardless of the shape of distribution the data comes from. Applications to South African Heart Disease and Neonatal Hearing Impairment data further illustrate its practicability.