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

We propose a new weighted integral goodness-of-fit statistic forÂ 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.

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Year of publication:	2008
Authors:	Baringhaus, L. ; Henze, N.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 8, p. 1006-1016
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005224115