Tests of exponentiality based on Arnold-Villasenor characterization and their efficiencies
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Publication:1663208
DOI10.1016/J.CSDA.2015.03.019zbMATH Open1468.62095arXiv1407.5014OpenAlexW2053315470MaRDI QIDQ1663208FDOQ1663208
Marko Obradović, Yakov Yu. Nikitin, Milan V. Jovanović, Ksenia Volkova, B. Milošević
Publication date: 21 August 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Abstract: We propose two families of scale-free exponentiality tests based on the recent characterization of exponentiality by Arnold and Villasenor. The test statistics are based on 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. We also explore the conditions of local asymptotic optimality of new tests and describe for both families special "most favorable" alternatives for which the tests are fully efficient.
Full work available at URL: https://arxiv.org/abs/1407.5014
Computational methods for problems pertaining to statistics (62-08) Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20)
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