Recent and classical tests for exponentiality: a partial review with comparisons
Norbert Henze and
Simos G. Meintanis
Metrika: International Journal for Theoretical and Applied Statistics, 2005, vol. 61, issue 1, 29-45
Abstract:
A wide selection of classical and recent tests for exponentiality are discussed and compared. The classical procedures include the statistics of Kolmogorov-Smirnov and Cramér-von Mises, a statistic based on spacings, and a method involving the score function. Among the most recent approaches emphasized are methods based on the empirical Laplace transform and the empirical characteristic function, a method based on entropy as well as tests of the Kolmogorov-Smirnov and Cramér-von Mises type that utilize a characterization of exponentiality via the mean residual life function. We also propose a new goodness-of-fit test utilizing a novel characterization of the exponential distribution through its characteristic function. The finite-sample performance of the tests is investigated in an extensive simulation study. Copyright Springer-Verlag 2005
Keywords: 62G10; 62G20; Goodness-of-fit test; exponential distribution; empirical characteristic function; empirical distribution function; integrated empirical distribution function; empirical Laplace transform; entropy; mean residual life function (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (33)
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Persistent link: https://EconPapers.repec.org/RePEc:spr:metrik:v:61:y:2005:i:1:p:29-45
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DOI: 10.1007/s001840400322
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