Geodesic
A class of tests for exponentiality based on a continuum of moment conditions
Kybernetika, Tome 45 (2009) no. 6, pp. 946-959

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The empirical moment process is utilized to construct a family of tests for the null hypothesis that a random variable is exponentially distributed. The tests are consistent against the 'new better than used in expectation' (NBUE) class of alternatives. Consistency is shown and the limit null distribution of the test statistic is derived, while efficiency results are also provided. The finite-sample properties of the proposed procedure in comparison to more standard procedures are investigated via simulation.
Classification : 62E20, 62G10, 62G20, 62N05, 65C60
Keywords: goodness-of-fit test; empirical moments; ageing distributions; Bahadur efficiency 
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     author = {Meintanis, Simos G.},
     title = {A class of tests for exponentiality based on a continuum of moment conditions},
     journal = {Kybernetika},
     pages = {946--959},
     publisher = {mathdoc},
     volume = {45},
     number = {6},
     year = {2009},
     mrnumber = {2650075},
     zbl = {pZbl 1186.62056},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_2009__45_6_a4/}
}
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Meintanis, Simos G. A class of tests for exponentiality based on a continuum of moment conditions. Kybernetika, Tome 45 (2009) no. 6, pp. 946-959. http://geodesic.mathdoc.fr/item/KYB_2009__45_6_a4/