Recent and classical tests for exponentiality: a partial review with comparisons |
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Authors: | Norbert Henze Simos G. Meintanis |
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Affiliation: | (1) Institut für Mathematische Stochastik, Universität Karlsruhe, Englerstr. 2, 76128 Karlsruhe, Germany;(2) Department of Economics, National and Kapodistrian University of Athens, 8 Pesmazoglou Street, 105 59 Athens, Greece |
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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.Received: January 2002/Revised: January 2004 |
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Keywords: | 62G10 62G20 |
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