Two South Korean military officials said they couldn't immediately confirm the report, saying to do so would breach a policy of not commenting on intelligence matters.
Both said any firing would be part of a routine drill and have little relation to Kim Jong Il's death. They both spoke on condition of anonymity, citing policy.
Yonhap cited unidentified government and military officials as saying the test occurred off the east coast.
North Korea is urging its people to rally behind Kim Jong Il's young son and heir-apparent Kim Jong Un, as the world watches warily for signs of instability in a nation pursuing nuclear weapons.
South Korea has put its military on high alert against the North's 1.2 million-strong armed forces. President Barack Obama agreed by phone with South Korean President Lee Myung-bak to closely monitor developments.
North Korea is preparing for next year's 100th anniversary of the birth of its founder Kim Il Sung
-- Kim Jong Il's father. The preparations include massive construction projects throughout the capital as part of Kim Jong Il's unfulfilled promise to bring prosperity to his people.
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