COMPARE <Sample>,#NORMAL,L
displays some basic statistics and performs the following tests for
normality:
Shapiro-Wilk (for sample sizes N<=50) (Conover p.363)
D'Agostino (50<=N<=500)
Anderson-Darling
From version 3.30 the old D'Agostino test has been replaced by
a more powerful D'Agostino-Pearson omnibus test.
The results are given in the form
D'Agostino-Pearson K^2=##.##### P=#.#### (#.### #.###)
where K^2 is the test statistics with an approximate Chi^2 distribution
with 2 degrees of freedom and P its p value. The numbers in brackets
are normal approximations for tests based for skewness and kurtosis,
respectively (K^2 is the sum of their squares), giving more information
about kind of departure from normal distribution.
Source:
D'Agostino & al. "A Suggestion for Using Powerful and Informative Tests
of Normality", The American Statistician, Vol 44, No. 4, pp. 316-321
T = More information about COMPARE
M = Tests for multivariate normality
Help System (web edition)