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Asymptotic efficiency of new exponentiality tests based on a characterization

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  • Bojana Milošević

Abstract

Two new tests for exponentiality, of integral- and Kolmogorov-type, are proposed. They are based on a recent characterization and formed using appropriate V-statistics. Their asymptotic properties are examined and their local Bahadur efficiencies against some common alternatives are found. A class of locally optimal alternatives for each test is obtained. The powers of these tests, for some small sample sizes, are compared with different exponentiality tests. Copyright Springer-Verlag Berlin Heidelberg 2016

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  • Bojana Milošević, 2016. "Asymptotic efficiency of new exponentiality tests based on a characterization," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 79(2), pages 221-236, February.
    • Handle: RePEc:spr:metrik:v:79:y:2016:i:2:p:221-236
    DOI: 10.1007/s00184-015-0552-x
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    References listed on IDEAS

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    1. Yakov Nikitin, 2001. "Asymptotic efficiency and local optimality of distribution - free tests based on U- and V-statistics," ICER Working Papers 20-2001, ICER - International Centre for Economic Research.
    2. Ya. Nikitin, 2010. "Large deviations of U-empirical Kolmogorov–Smirnov tests and their efficiency," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 22(5), pages 649-668.
    3. Yakov Y. Nikitin & Irina Peaucelle, 2004. "Efficiency and local optimality of nonparametric tests based on U- and V-statistics," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(2), pages 185-200.
    4. Norbert Henze & Simos G. Meintanis, 2005. "Recent and classical tests for exponentiality: a partial review with comparisons," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 61(1), pages 29-45, February.
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