Tests for normality in stable laws
A question of considerable interest is whether a stable distribution is Gaussian or has infinite variance. Three statistics, the kurtosis, the ratio of one half the range to the sample stan-dard deviation, and a regression-type estimator of the characteristic exponent α are compared in a Monte Carlo power study. In addition, the asymptotic distribution of the third statistic is examined and the powers obtained by using approximate normal theory are compared to the Monte Carlo findings in large samples.