Asymptotic comparison of three tests for goodness of fit (Q1072306)

The so-called Greenwood statistic, based on the sum of squares of the sample spacings, is known to be locally most powerful (LMP) among all tests based symmetrically on the sample spacings. On the other hand, the \(\chi^ 2\) criterion with the number of cells equal to the number of observations, is also known to be LMP among tests based symmetrically on the observed frequencies. While the latter compares the observed and expected frequencies holding the expected number in each cell to one, the former compares the expected and observed cell-lengths holding the observed number in each cell to one. We compare here these two test statistics with still another spacings test, \(\sum D_ i\log D_ i\), on the basis of their asymptotic relative efficiency and conclude that the Greenwood statistic is superior.