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Recent and classical tests for exponentiality: a partial review with comparisons

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  • Norbert Henze
  • Simos G. Meintanis

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

Suggested Citation

  • 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.
    • Handle: RePEc:spr:metrik:v:61:y:2005:i:1:p:29-45
    DOI: 10.1007/s001840400322
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