Kybernetika 45 no. 6, 946-959, 2009

A Class of Tests for Exponentiality Based on a Continuum of Moment Conditions

Simos G. Meintanis


The empirical moment process is utilized to construct a family of tests for the null hypothesis that a random variable is exponentially distributed. The tests are consistent against the 'new better than used in expectation' (NBUE) class of alternatives. Consistency is shown and the limit null distribution of the test statistic is derived, while efficiency results are also provided. The finite-sample properties of the proposed procedure in comparison to more standard procedures are investigated via simulation.


goodness-of-fit test, empirical moments, ageing distributions, Bahadur efficiency


62G10, 62G20