On the Bahadur slope of the Lilliefors and the Cram\'{e}r--von Mises tests of normality

Abstract

We find the Bahadur slope of the Lilliefors and Cram\'{e}r--von Mises tests of normality.Comment: Published at http://dx.doi.org/10.1214/074921706000000851 in the IMS Lecture Notes Monograph Series (http://www.imstat.org/publications/lecnotes.htm) by the Institute of Mathematical Statistics (http://www.imstat.org