Exponentiality tests based on Ahsanullah's characterization and their efficiencies

K. Yu. Volkova   ; Ya. Yu. Nikitin

Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 19, Tome 412 (2013), pp. 69-87

Résumé

We construct integral and supremum type tests of exponentiality based on Ahsanullah's characterization of exponential law. We discuss limiting distributions and large deviations of new test statistics under null-hypothesis, and calculate their local Bahadur efficiency under common parametric alternatives. Conditions of local optimality of new statistics are given.

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