Lilliefors (LF) test is a modification of the Kolmogorov-Smirnov test. The KS test is appropriate in a situation where the parameters of the hypothesized distribution are completely known. However, sometimes it is difficult to initially or completely specify the parameters as the distribution is unknown. In this case, the parameters need to be estimated based on the sample data. When the original KS statistic is used in such situation, the results can be misleading whereby the probability of type I error tend to be smaller than the ones given in the standard table of the KS test (Lilliefors, 1967). In contrast with the KS test, the parameters for LF test are estimated based on the sample. Therefore, in this situation, the LF test will be preferred over the KS test (Oztuna, 2006). Given a sample of observations, LF statistic is defined as (Lilliefors, 1967),