Questions tagged [normality-assumption]

Many statistical methods assume data are normally distributed. Use this tag for questions about the assumption & testing of normality, or about normality as a *property*. Use [normal-distribution] for questions about the normal distribution per se.

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307
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16answers
106k views

Is normality testing 'essentially useless'?

A former colleague once argued to me as follows: We usually apply normality tests to the results of processes that, under the null, generate random variables that are only asymptotically or ...
120
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5answers
203k views

Pearson's or Spearman's correlation with non-normal data

I get this question frequently enough in my statistics consulting work, that I thought I'd post it here. I have an answer, which is posted below, but I was keen to hear what others have to say. ...
113
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3answers
34k views

What if residuals are normally distributed, but y is not?

I've got a weird question. Assume that you have a small sample where the dependent variable that you're going to analyze with a simple linear model is highly left skewed. Thus you assume that $u$ is ...
55
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3answers
31k views

Box-Cox like transformation for independent variables?

Is there a Box-Cox like transformation for independent variables? That is, a transformation that optimizes the $x$ variable so that the y~f(x) will make a more ...
54
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3answers
30k views

Standard deviation of standard deviation

What is an estimator of standard deviation of standard deviation if normality of data can be assumed?
53
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3answers
13k views

Why do we care so much about normally distributed error terms (and homoskedasticity) in linear regression when we don't have to?

I suppose I get frustrated every time I hear someone say that non-normality of residuals and /or heteroskedasticity violates OLS assumptions. To estimate parameters in an OLS model neither of these ...
53
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3answers
225k views

ANOVA assumption normality/normal distribution of residuals

The Wikipedia page on ANOVA lists three assumptions, namely: Independence of cases – this is an assumption of the model that simplifies the statistical analysis. Normality – the distributions of the ...
49
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6answers
221k views

How to perform a test using R to see if data follows normal distribution

I have a data set with following structure: a word | number of occurrence of a word in a document | a document id How can I perform a test for normal ...
49
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5answers
10k views

Interpreting QQplot - Is there any rule of thumb to decide for non-normality?

I have read enough threads on QQplots here to understand that a QQplot can be more informative than other normality tests. However, I am inexperienced with interpreting QQplots. I googled a lot; I ...
48
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5answers
75k views

Regression when the OLS residuals are not normally distributed

There are several threads on this site discussing how to determine if the OLS residuals are asymptotically normally distributed. Another way to evaluate the normality of the residuals with R code is ...
48
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5answers
50k views

If the t-test and the ANOVA for two groups are equivalent, why aren't their assumptions equivalent?

I'm sure I've got this completely wrapped round my head, but I just can't figure it out. The t-test compares two normal distributions using the Z distribution. That's why there's an assumption of ...
48
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4answers
68k views

Normalization vs. scaling

What is the difference between data 'Normalization' and data 'Scaling'? Till now I thought both terms refers to same process but now I realize there is something more that I don't know/understand. ...
43
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4answers
88k views

What references should be cited to support using 30 as a large enough sample size?

I have read/heard many times that the sample size of at least 30 units is considered as "large sample" (normality assumptions of means usually approximately holds due to the CLT, ...). Therefore, in ...
38
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3answers
28k views

Normality of dependent variable = normality of residuals?

This issue seems to rear its ugly head all the time, and I'm trying to decapitate it for my own understanding of statistics (and sanity!). The assumptions of general linear models (t-test, ANOVA, ...
33
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7answers
31k views

What is normality?

In many different statistical methods there is an "assumption of normality". What is "normality" and how do I know if there is normality?
33
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5answers
11k views

Is there an explanation for why there are so many natural phenomena that follow normal distribution?

I think this is a fascinating topic and I do not fully understand it. What law of physics makes so that so many natural phenomena have normal distribution? It would seem more intuitive that they would ...
30
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6answers
167k views

Interpretation of Shapiro-Wilk test

I'm pretty new to statistics and I need your help. I have a small sample, as follows: H4U 0.269 0.357 0.2 0.221 0.275 0.277 0.253 0.127 0.246 ...
30
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2answers
107k views

What is the difference between the Shapiro-Wilk test of normality and the Kolmogorov-Smirnov test of normality?

What is the difference between the Shapiro-Wilk test of normality and the Kolmogorov-Smirnov test of normality? When will results from these two methods differ?
28
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1answer
4k views

How incorrect is a regression model when assumptions are not met?

When fitting a regression model, what happens if the assumptions of the outputs are not met, specifically: What happens if the residuals are not homoscedastic? If the residuals show an increasing or ...
27
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3answers
44k views

What should I check for normality: raw data or residuals?

I've learnt that I must test for normality not on the raw data but their residuals. Should I calculate residuals and then do the Shapiro–Wilk's W test? Are residuals calculated as: $X_i - \...
26
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3answers
37k views

Is it meaningful to test for normality with a very small sample size (e.g., n = 6)?

I have a sample size of 6. In such a case, does it make sense to test for normality using the Kolmogorov-Smirnov test? I used SPSS. I have a very small sample size because it takes time to get each. ...
24
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4answers
9k views

Is Shapiro–Wilk the best normality test? Why might it be better than other tests like Anderson-Darling?

I have read somewhere in the literature that the Shapiro–Wilk test is considered to be the best normality test because for a given significance level, $\alpha$, the probability of rejecting the null ...
24
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5answers
17k views

How robust is the independent samples t-test when the distributions of the samples are non-normal?

I've read that the t-test is "reasonably robust" when the distributions of the samples depart from normality. Of course, it's the sampling distribution of the differences that are important. I have ...
23
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5answers
105k views

Can I trust ANOVA results for a non-normally distributed DV?

I have analyzed an experiment with a repeated measures ANOVA. The ANOVA is a 3x2x2x2x3 with 2 between-subject factors and 3 within (N = 189). Error rate is the dependent variable. The distribution of ...
22
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6answers
16k views

Appropriate normality tests for small samples

So far, I've been using the Shapiro-Wilk statistic in order to test normality assumptions in small samples. Could you please recommend another technique?
22
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9answers
6k views

How do I figure out what kind of distribution represents this data on ping response times?

I've sampled a real world process, network ping times. The "round-trip-time" is measured in milliseconds. Results are plotted in a histogram: Ping times have a minimum value, but a long upper tail. ...
22
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5answers
87k views

Assumptions of linear models and what to do if the residuals are not normally distributed

I am a little bit confused on what the assumptions of linear regression are. So far I checked whether: all of the explanatory variables correlated linearly with the response variable. (This was the ...
20
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4answers
11k views

Transformation to increase kurtosis and skewness of normal r.v

I'm working on an algorithm that relies on the fact that observations $Y$s are normally distributed, and I would like to test the robustness of the algorithm to this assumption empirically. To do ...
20
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2answers
3k views

Can we see shape of normal curve somewhere in nature?

I do not want to know if some phenomena in nature have normal distribution, but whether we can somewhere see shape of normal curve as we can see it for example in Galton box. See this figure from ...
19
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3answers
2k views

Example of distribution where large sample size is necessary for central limit theorem

Some books state a sample size of size 30 or higher is necessary for the central limit theorem to give a good approximation for $\bar{X}$. I know this isn't enough for all distributions. I wish ...
19
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2answers
38k views

How to test for differences between two group means when the data is not normally distributed?

I'll eliminate all the biological details and experiments and quote just the problem at hand and what I have done statistically. I would like to know if its right, and if not, how to proceed. If the ...
17
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4answers
2k views

What is the basis for the Box and Whisker Plot definition of an outlier?

The standard definition of an outlier for a Box and Whisker plot is points outside of the range $\left\{Q1-1.5IQR,Q3+1.5IQR\right\}$, where $IQR= Q3-Q1$ and $Q1$ is the first quartile and $Q3$ is the ...
17
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1answer
12k views

Why do we assume that the error is normally distributed?

I wonder why do we use the Gaussian assumption when modelling the error. In Stanford's ML course, Prof. Ng describes it basically in two manners: It is mathematically convenient. (It's related to ...
16
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2answers
5k views

Why is F-test so sensitive for the assumption of normality?

Why is the F-test for difference in variance so sensitive to the assumption of normal distribution, even for large $N$? I have tried to search the web and visited the library, but none of it gave any ...
16
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5answers
52k views

How does the sampling distribution of sample means approximate the population mean?

I am trying to learn statistics because I find that it is so prevalent that it prohibits me from learning some things if I don't understand it properly. I am having trouble understanding this notion ...
15
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2answers
5k views

Repeated measures ANOVA: what is the normality assumption?

I am confused about the normality assumption in repeated measures ANOVA. Specifically, I am wondering what kind of normality exactly should be satisfied. In reading the literature and the answers on ...
13
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1answer
32k views

R: test normality of residuals of linear model - which residuals to use

I would like to do a Shapiro Wilk's W test and Kolmogorov-Smirnov test on the residuals of a linear model to check for normality. I was just wondering what residuals should be used for this - the raw ...
12
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2answers
16k views

What normality assumptions are required for an unpaired t-test? And when are they met?

If we wish to conduct a paired t-test, the requirement is (if I understand correctly) that the mean difference between the matched units of measurement will be distributed normally. In paired t-test, ...
12
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2answers
4k views

Departure from normality assumption in ANOVA: is kurtosis or skewness more important?

Applied linear statistical models by Kutner et al. states the following concerning departures from the normality assumption of ANOVA models: Kurtosis of the error distribution (either more or less ...
12
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2answers
15k views

QQ plot does not match histogram

I have a histogram, kernel density and a fitted normal distribution of financial log returns, which are transformed into losses (signs are changed), and a normal QQ plot of these data: The QQ plot ...
12
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1answer
19k views

Testing large dataset for normality - how and is it reliable?

I'm examining a part of my dataset containing 46840 double values ranging from 1 to 1690 grouped in two groups. In order to analyze the differences between these groups I started by examining the ...
12
votes
1answer
2k views

What is a good index of the degree of violation of normality and what descriptive labels could be attached to that index?

Context: In a previous question, @Robbie asked in a study with around 600 cases why tests of normality suggested significant non-normality yet the plots suggested normal distributions. Several people ...
12
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1answer
8k views

Can I use a paired t-test when the samples are normally distributed but their difference is not?

I have data from an experiment where I applied two different treatments in identical initial conditions, producing an integer between 0 and 500 in each case as the outcome. I want to use a paired t-...
12
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2answers
2k views

What is the expected distribution of residuals in a generalized linear model?

I am performing a generalized linear model, where I have to specify a family different from the normal one. What is the expected distribution of residuals? For example, should the residuals be ...
12
votes
1answer
3k views

Why not always use bootstrap CIs?

I was wondering how bootstrap CIs (and BCa in barticular) perform on normally-distributed data. There seems to be lots of work examining their performance on various types of distributions, but could ...
12
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4answers
46k views

Can I use a Z-score with skewed and non-normal data? [closed]

I've been working with some process cycle time data and scaling using the standard z-score in order to compare between parts of the full cycle time. Should I use some other transformation since the ...
11
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2answers
17k views

If my histogram shows a bell-shaped curve, can I say my data is normally distributed?

I created a histogram for Respondent Age and managed to get a very nice bell-shaped curve, from which I concluded that the distribution is normal. Then I ran the normality test in SPSS, with n = 169. ...
11
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3answers
1k views

“Reversed” Shapiro–Wilk

The Sharipo-Wilk test, according to wikipedia, tests the null-hypothesis ($H_0$) "The population is normally distributed". I am looking for a similar normality test with $H_0$ "The population is not ...
11
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5answers
8k views

Testing the normality assumption for repeated measures anova? (in R)

So assuming that there is a point in testing the normality assumption for anova (see 1 and 2) How can it be tested in R? I would expect to do something like: ...
11
votes
1answer
380 views

Asymptotic normality of a quadratic form

Let $\mathbf{x}$ be a random vector drawn from $P$. Consider a sample $\{ \mathbf{x}_i \}_{i=1}^n \stackrel{i.i.d.}{\sim} P$. Define $\bar{\mathbf{x}}_n := \frac{1}{n} \sum_{i=1}^n \mathbf{x}_i$, and $...

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