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Tests of exponentiality based on Arnold–Villasenor characterization and their efficiencies

Author

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  • Jovanović, Milan
  • Milošević, Bojana
  • Nikitin, Ya. Yu.
  • Obradović, Marko
  • Volkova, K. Yu.

Abstract

Two families of scale-free exponentiality tests based on the recent characterization of exponentiality by Arnold and Villasenor are proposed. The test statistics are constructed using suitable functionals of U-empirical distribution functions. The family of integral statistics can be reduced to V- or U-statistics with relatively simple non-degenerate kernels. They are asymptotically normal and have reasonably high local Bahadur efficiency under common alternatives. This efficiency is compared with simulated powers of new tests. On the other hand, the Kolmogorov type tests demonstrate very low local Bahadur efficiency and rather moderate power for common alternatives, and can hardly be recommended to practitioners. The conditions of local asymptotic optimality of new tests are also explored and for both families special “most favourable” alternatives for which the tests are fully efficient are described.

Suggested Citation

  • Jovanović, Milan & Milošević, Bojana & Nikitin, Ya. Yu. & Obradović, Marko & Volkova, K. Yu., 2015. "Tests of exponentiality based on Arnold–Villasenor characterization and their efficiencies," Computational Statistics & Data Analysis, Elsevier, vol. 90(C), pages 100-113.
    • Handle: RePEc:eee:csdana:v:90:y:2015:i:c:p:100-113
    DOI: 10.1016/j.csda.2015.03.019
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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. 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.
    3. Arnold, Barry C. & Villasenor, Jose A., 2013. "Exponential characterizations motivated by the structure of order statistics in samples of size two," Statistics & Probability Letters, Elsevier, vol. 83(2), pages 596-601.
    4. Helena Jansen Van Rensburg & Jan Swanepoel, 2008. "A class of goodness-of-fit tests based on a new characterization of the exponential distribution," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 20(6), pages 539-551.
    5. 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.
    6. Ibrahim A. Ahmad & Ibrahim A. Alwasel, 1999. "A Goodness‐of‐fit Test for Exponentiality Based on the Memoryless Property," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(3), pages 681-689.
    7. 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.
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    1. Yanev, George P. & Chakraborty, Santanu, 2016. "A characterization of exponential distribution and the Sukhatme–Rényi decomposition of exponential maxima," Statistics & Probability Letters, Elsevier, vol. 110(C), pages 94-102.
    2. Bojana Milošević & Marko Obradović, 2016. "New class of exponentiality tests based on U-empirical Laplace transform," Statistical Papers, Springer, vol. 57(4), pages 977-990, December.
    3. Bojana Milošević & Marko Obradović, 2016. "Two-dimensional Kolmogorov-type goodness-of-fit tests based on characterisations and their asymptotic efficiencies," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 28(2), pages 413-427, June.
    4. James Allison & Bojana Milošević & Marko Obradović & Marius Smuts, 2022. "Distribution-free goodness-of-fit tests for the Pareto distribution based on a characterization," Computational Statistics, Springer, vol. 37(1), pages 403-418, March.
    5. Milošević, B. & Obradović, M., 2016. "Characterization based symmetry tests and their asymptotic efficiencies," Statistics & Probability Letters, Elsevier, vol. 119(C), pages 155-162.
    6. J. S. Allison & L. Santana & N. Smit & I. J. H. Visagie, 2017. "An ‘apples to apples’ comparison of various tests for exponentiality," Computational Statistics, Springer, vol. 32(4), pages 1241-1283, December.

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