A new weighted integral goodness-of-fit statistic for exponentiality

We propose a new weighted integral goodness-of-fit statistic for exponentiality. The statistic is motivated by a characterization of the exponential distribution via the mean residual life function. Its limit null distribution is the same as that of a certain weighted integral of the squared Brownia...

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Veröffentlicht in:Statistics & probability letters 2008-06, Vol.78 (8), p.1006-1016
Hauptverfasser: Baringhaus, L., Henze, N.
Format: Artikel
Sprache:eng
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Zusammenfassung:We propose a new weighted integral goodness-of-fit statistic for exponentiality. The statistic is motivated by a characterization of the exponential distribution via the mean residual life function. Its limit null distribution is the same as that of a certain weighted integral of the squared Brownian bridge. The Laplace transform and cumulants of the latter are expressible in terms of Bessel functions.
ISSN:0167-7152
1879-2103
DOI:10.1016/j.spl.2007.09.060