We have financial some data (500-1000 samples), which is not normally distributed (well known fact from the literature). I have some ideas to do parametric transformations of this data (using some other data) to produce "adjusted" series. My goal is to find a transformation that makes the series normally distributed (with mean 0 and std deviation 1). What is the most appropriate statistic and corresponding test to optimize my parameters and determine if the outcome can be considered normally distributed?


I apologize if this question is too basic for some - I come from financial mathematics and my statistics knowledge is rather limited.



Normality tests
The Anderson-Darling test is considered one of the best tests for normality, I think.


