Bahadur Efficiencies of the Epps–Pulley Test for Normality

The test for normality suggested by Epps and Pulley is a serious competitor to tests based on the empirical distribution function. In contrast latter procedures, it has been generalized obtain genuine affine invariant universally consistent in any dimension. We approximate Bahadur efficiencies of Pulley, thus complementing recent results Milošević et al. For certain values tuning parameter that inherent Epps–Pulley test, this outperforms each its competitors considered al., over whole range six close alternatives normality.