Tests of exponentiality based on Arnold–Villasenor characterization and their efficiencies

• DOI: 10.1016/j.csda.2015.03.019
• Publication Date: 2015-04-18T04:33:06Z
• Authors: Milan Jovanović; Bojana Milošević; Ya. Yu. Nikitin; Marko Obradović; K. Yu. Volkova
• Keywords: Methodology (stat.ME); FOS: Computer and information sciences; FOS: Mathematics; Mathematics - Statistics Theory; Statistics Theory (math.ST); 0101 mathematics; 01 natural sciences; Statistics - Methodology; 60F10, 62G10, 62G20, 62G30

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.<br/>25 pages, 4 figures<br/>