A new weighted integral goodness-of-fit statistic for exponentiality

L. Baringhaus and N. Henze

Statistics & Probability Letters, 2008, vol. 78, issue 8, 1006-1016

Abstract: We propose a new weighted integral goodness-of-fit statistic for exponentiality. The statistic is motivated by a characterization of the exponential distribution via the mean residual life function. Its limit null distribution is the same as that of a certain weighted integral of the squared Brownian bridge. The Laplace transform and cumulants of the latter are expressible in terms of Bessel functions.

Date: 2008
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