Lilliefors Test

In a Kolmogorov-Smirnov test for normality when the mean and standard deviation of the hypothesized normal distribution are not known (i.e., they are estimated from the sample data), the probability values tabulated by Massey (1951) are not valid. Instead, the so-called Lilliefors probabilities (Lilliefors, 1967) should be used in determining whether the KS difference statistic is significant.